Lattice Class Template Reference
[Lattice methods]
#include <ql/Lattices/lattice.hpp>
Inheritance diagram for Lattice:
[legend]List of all members.
Detailed Description
template<class Impl>
class QuantLib::Lattice< Impl >
Lattice-method base class.
This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will usually be based on one or more trees.
Derived classes must implement the following interface: and may implement the following: public:
void stepback(Size i,
const Array& values,
Array& newValues) const;
Member Function Documentation
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Roll back an asset until the given time, performing any needed adjustment.
Implements NumericalMethod. |
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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();
Implements NumericalMethod. |
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