/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 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 ferdinando@ametrano.net
 The license is also available online at http://quantlib.org/html/license.html

 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 tree class

    \fullpath
    ql/Lattices/%lattice2d.hpp
*/

// $Id: lattice2d.hpp,v 1.1.12.1 2002/12/31 18:40:36 nando Exp $

#ifndef quantlib_lattices_lattice2d_h
#define quantlib_lattices_lattice2d_h

#include <ql/Lattices/lattice.hpp>
#include <ql/Lattices/trinomialtree.hpp>
#include <ql/Math/matrix.hpp>

namespace QuantLib {

    namespace Lattices {

        //! Two-dimensional lattice.
        /*! This lattice is based on two trinomial trees and primarly used
            for the G2 short-rate model.
        */
        class Lattice2D : public Lattice {
          public:
            Lattice2D(const Handle<TrinomialTree>& tree1,
                      const Handle<TrinomialTree>& tree2,
                      double correlation);

            Size size(Size i) const { return tree1_->size(i)*tree2_->size(i); }
          protected:
            Size descendant(Size i, Size index, Size branch) const;
            double probability(Size i, Size index, Size branch) const;

            Handle<Tree> tree1_, tree2_;
          private:
            Math::Matrix m_;
            double rho_;
        };

    }

}

#endif
