BlackScholesLattice Class Reference#include <ql/Lattices/bsmlattice.hpp>
Inheritance diagram for BlackScholesLattice:
[legend]List of all members.
Detailed Description
Simple binomial lattice approximating the Black-Scholes model.
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Public Member Functions |
| BlackScholesLattice (const Handle< Tree > &tree, Rate riskFreeRate, Time end, Size steps) |
Size | size (Size i) const |
DiscountFactor | discount (Size i, Size j) const |
| Discount factor at time t_i and node indexed by index.
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const Handle< Tree > & | tree () const |
Protected Member Functions |
void | stepback (Size i, const Array &values, Array &newValues) const |
Size | descendant (Size i, Size index, Size branch) const |
| Tree properties.
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double | probability (Size i, Size index, Size branch) const |
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