BlackScholesLattice Class Template Reference
[Lattice methods]

#include <ql/methods/lattices/bsmlattice.hpp>

Inheritance diagram for BlackScholesLattice:

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List of all members.

Detailed Description

template<class T>
class QuantLib::BlackScholesLattice< T >

Simple binomial lattice approximating the Black-Scholes model.


Public Member Functions

 BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)
Size size (Size i) const
DiscountFactor discount (Size, Size) const
void stepback (Size i, const Array &values, Array &newValues) const
Real underlying (Size i, Size index) const
Size descendant (Size i, Size index, Size branch) const
Real probability (Size i, Size index, Size branch) const