Lattice Class Reference

#include <ql/numericalmethod.hpp>

Inheritance diagram for Lattice:

Inheritance graph
[legend]
List of all members.

Detailed Description

Lattice (tree, finite-differences) base class


Public Member Functions

 Lattice (const TimeGrid &timeGrid)
virtual Disposable< Arraygrid (Time) const=0
Inspectors
const TimeGridtimeGrid () 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]

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:
                     method->rollAlmostBack(asset,t);
with the two statements:
                     method->partialRollback(asset,t);
                     asset->preAdjustValues();

Implemented in TreeLattice, TsiveriotisFernandesLattice, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, and TreeLattice< BlackScholesLattice< T > >.