#include <ql/Lattices/lattice.hpp>
Inheritance diagram for Lattice:
[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.
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Public Member Functions |
| Lattice (const TimeGrid &timeGrid, Size n) |
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.
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const Array & | statePrices (Size i) |
virtual Size | descendant (Size i, Size index, Size branch) const =0 |
| Tree properties.
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virtual Real | probability (Size i, Size index, Size branch) const =0 |
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void | initialize (DiscretizedAsset &, Time t) const |
| initialize an asset at the given time.
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void | rollback (DiscretizedAsset &, Time to) const |
void | partialRollback (DiscretizedAsset &, Time to) const |
Real | presentValue (DiscretizedAsset &) |
| Computes the present value of an asset using Arrow-Debrew prices.
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Protected Member Functions |
void | computeStatePrices (Size until) |
virtual void | stepback (Size i, const Array &values, Array &newValues) const |
Protected Attributes |
std::vector< Array > | statePrices_ |
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.
Implements NumericalMethod. |
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