NumericalMethod Class Reference
#include <ql/numericalmethod.hpp>
Inheritance diagram for NumericalMethod:

Detailed Description
Numerical method (tree, finite-differences) base class.
Public Member Functions | |
NumericalMethod (const TimeGrid &timeGrid) | |
virtual Disposable< Array > | grid (Time) const =0 |
Inspectors | |
const TimeGrid & | timeGrid () 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
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Roll back an asset until the given time, performing any needed adjustment. Implemented in Lattice, TsiveriotisFernandesLattice, Lattice< OneFactorModel::ShortRateTree >, Lattice< TwoFactorModel::ShortRateTree >, and Lattice< BlackScholesLattice< T > >. |
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Roll back an asset until the given time, but do not perform the final adjustment.
method->rollAlmostBack(asset,t); method->partialRollback(asset,t); asset->preAdjustValues(); Implemented in Lattice, TsiveriotisFernandesLattice, Lattice< OneFactorModel::ShortRateTree >, Lattice< TwoFactorModel::ShortRateTree >, and Lattice< BlackScholesLattice< T > >. |