NumericalMethod Class Reference

#include <ql/numericalmethod.hpp>

Inheritance diagram for NumericalMethod:

Inheritance graph
[legend]
List of all members.

Detailed Description

Numerical method (tree, finite-differences) base class.


Public Member Functions

 NumericalMethod (const TimeGrid &timeGrid)
virtual Disposable< Arraygrid (Time) const =0
Inspectors
const TimeGridtimeGrid () const
Numerical method interface
These methods are to be used by discretized assets and must be overridden by developers implementing numerical methods. Users are advised to use the corresponding methods of DiscretizedAsset instead.

virtual void initialize (DiscretizedAsset &, Time time) const =0
 initialize an asset at the given time.
virtual void rollback (DiscretizedAsset &, Time to) const =0
virtual void partialRollback (DiscretizedAsset &, Time to) const =0
virtual Real presentValue (DiscretizedAsset &) const =0
 computes the present value of an asset.

Protected Attributes

TimeGrid t_


Member Function Documentation

virtual void rollback DiscretizedAsset ,
Time  to
const [pure virtual]
 

Roll back an asset until the given time, performing any needed adjustment.

Implemented in Lattice, Lattice< OneFactorModel::ShortRateTree >, Lattice< TwoFactorModel::ShortRateTree >, and Lattice< BlackScholesLattice< T > >.

virtual void partialRollback DiscretizedAsset ,
Time  to
const [pure virtual]
 

Roll back an asset until the given time, but do not perform the final adjustment.

Warning:
In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:
                     method->rollAlmostBack(asset,t);
with the two statements:
                     method->partialRollback(asset,t);
                     asset->preAdjustValues();

Implemented in Lattice, Lattice< OneFactorModel::ShortRateTree >, Lattice< TwoFactorModel::ShortRateTree >, and Lattice< BlackScholesLattice< T > >.


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