BlackScholesLattice Class Reference

#include <ql/Lattices/bsmlattice.hpp>

Inheritance diagram for BlackScholesLattice:

Inheritance graph
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List of all members.

Detailed Description

Simple binomial lattice approximating the Black-Scholes model.


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.

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.

double probability (Size i, Size index, Size branch) const


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