Lattice Class Reference

#include <ql/Lattices/lattice.hpp>

Inheritance diagram for Lattice:

Inheritance graph
[legend]
List of all members.

Detailed Description

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.


Public Member Functions

 Lattice (const TimeGrid &timeGrid, Size n)
double presentValue (const Handle< DiscretizedAsset > &asset)
 Computes the present value of an asset using Arrow-Debrew prices.

void initialize (const Handle< DiscretizedAsset > &asset, Time t) const
 Initialize a DiscretizedAsset object.

void rollback (const Handle< DiscretizedAsset > &asset, Time to) const
void rollAlmostBack (const Handle< DiscretizedAsset > &asset, Time to) const
virtual Size size (Size i) const=0
virtual DiscountFactor discount (Size i, Size index) const=0
 Discount factor at time t_i and node indexed by index.

const ArraystatePrices (Size i)
virtual Size descendant (Size i, Size index, Size branch) const=0
 Tree properties.

virtual double probability (Size i, Size index, Size branch) const=0

Protected Member Functions

void computeStatePrices (Size until)
virtual void stepback (Size i, const Array &values, Array &newValues) const

Protected Attributes

std::vector< ArraystatePrices_


Member Function Documentation

void rollback const Handle< DiscretizedAsset > &  asset,
Time  to
const [virtual]
 

Roll back a DiscretizedAsset object until a certain time, performing any needed adjustment

Implements NumericalMethod.

void rollAlmostBack const Handle< DiscretizedAsset > &  asset,
Time  to
const [virtual]
 

Roll-back a DiscretizedAsset object until a certain time, but do not perform the final adjustment.

Implements NumericalMethod.


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