/usr/include/ql/methods/lattices/lattice2d.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file lattice2d.hpp
\brief Two-dimensional lattice class
*/
#ifndef quantlib_tree_lattice_2d_hpp
#define quantlib_tree_lattice_2d_hpp
#include <ql/methods/lattices/lattice.hpp>
#include <ql/methods/lattices/trinomialtree.hpp>
#include <ql/math/matrix.hpp>
namespace QuantLib {
//! Two-dimensional tree-based lattice.
/*! This lattice is based on two trinomial trees and primarily used
for the G2 short-rate model.
\ingroup lattices
*/
template <class Impl, class T = TrinomialTree>
class TreeLattice2D : public TreeLattice<Impl> {
public:
TreeLattice2D(const boost::shared_ptr<T>& tree1,
const boost::shared_ptr<T>& tree2,
Real correlation);
Size size(Size i) const;
Size descendant(Size i, Size index, Size branch) const;
Real probability(Size i, Size index, Size branch) const;
protected:
boost::shared_ptr<T> tree1_, tree2_;
// smelly
Disposable<Array> grid(Time) const { QL_FAIL("not implemented"); }
private:
Matrix m_;
Real rho_;
};
// inline definitions
template <class Impl, class T>
inline Size TreeLattice2D<Impl,T>::size(Size i) const {
return tree1_->size(i)*tree2_->size(i);
}
// template definitions
template <class Impl, class T>
TreeLattice2D<Impl,T>::TreeLattice2D(const boost::shared_ptr<T>& tree1,
const boost::shared_ptr<T>& tree2,
Real correlation)
: TreeLattice<Impl>(tree1->timeGrid(), T::branches*T::branches),
tree1_(tree1), tree2_(tree2), m_(T::branches,T::branches),
rho_(std::fabs(correlation)) {
// what happens here?
if (correlation < 0.0 && T::branches == 3) {
m_[0][0] = -1.0;
m_[0][1] = -4.0;
m_[0][2] = 5.0;
m_[1][0] = -4.0;
m_[1][1] = 8.0;
m_[1][2] = -4.0;
m_[2][0] = 5.0;
m_[2][1] = -4.0;
m_[2][2] = -1.0;
} else {
m_[0][0] = 5.0;
m_[0][1] = -4.0;
m_[0][2] = -1.0;
m_[1][0] = -4.0;
m_[1][1] = 8.0;
m_[1][2] = -4.0;
m_[2][0] = -1.0;
m_[2][1] = -4.0;
m_[2][2] = 5.0;
}
}
template <class Impl, class T>
Size TreeLattice2D<Impl,T>::descendant(Size i, Size index,
Size branch) const {
Size modulo = tree1_->size(i);
Size index1 = index % modulo;
Size index2 = index / modulo;
Size branch1 = branch % T::branches;
Size branch2 = branch / T::branches;
modulo = tree1_->size(i+1);
return tree1_->descendant(i, index1, branch1) +
tree2_->descendant(i, index2, branch2)*modulo;
}
template <class Impl, class T>
Real TreeLattice2D<Impl,T>::probability(Size i, Size index,
Size branch) const {
Size modulo = tree1_->size(i);
Size index1 = index % modulo;
Size index2 = index / modulo;
Size branch1 = branch % T::branches;
Size branch2 = branch / T::branches;
Real prob1 = tree1_->probability(i, index1, branch1);
Real prob2 = tree2_->probability(i, index2, branch2);
// does the 36 below depend on T::branches?
return prob1*prob2 + rho_*(m_[branch1][branch2])/36.0;
}
}
#endif
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