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

Detailed Description
Lattice (tree, finite-differences) base class
Public Member Functions | |
Lattice (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
virtual void rollback | ( | DiscretizedAsset & | , | |
Time | to | |||
) | const [pure virtual] |
Roll back an asset until the given time, performing any needed adjustment.
Implemented in TreeLattice, TsiveriotisFernandesLattice, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, and TreeLattice< BlackScholesLattice< T > >.
virtual void partialRollback | ( | DiscretizedAsset & | , | |
Time | to | |||
) | const [pure virtual] |
Roll back an asset until the given time, but do not perform the final adjustment.
- Warning:
- In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as: with the two statements:
method->rollAlmostBack(asset,t);
method->partialRollback(asset,t); asset->preAdjustValues();
Implemented in TreeLattice, TsiveriotisFernandesLattice, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, and TreeLattice< BlackScholesLattice< T > >.