BlackScholesLattice Class Template Reference
[Lattice methods]
#include <ql/Lattices/bsmlattice.hpp>
Inheritance diagram for BlackScholesLattice:
[legend]List of all members.
Detailed Description
template<class T>
class QuantLib::BlackScholesLattice< T >
Simple binomial lattice approximating the Black-Scholes model.
|
Public Member Functions |
| BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) |
Size | size (Size i) const |
DiscountFactor | discount (Size, Size) const |
void | stepback (Size i, const Array &values, Array &newValues) const |
Real | underlying (Size i, Size index) const |
Size | descendant (Size i, Size index, Size branch) const |
Real | probability (Size i, Size index, Size branch) const |
|