Simple binomial lattice approximating the Black-Scholes model. More...
#include <ql/methods/lattices/bsmlattice.hpp>
Inheritance diagram for BlackScholesLattice< T >:Public Member Functions | |
| BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) | |
| Rate | riskFreeRate () const |
| Time | dt () const |
| 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 |
Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > > | |
| TreeLattice1D (const TimeGrid &timeGrid, Size n) | |
| Disposable< Array > | grid (Time t) const |
| Real | underlying (Size i, Size index) const |
Public Member Functions inherited from TreeLattice< BlackScholesLattice< T > > | |
| TreeLattice (const TimeGrid &timeGrid, Size n) | |
| const Array & | statePrices (Size i) const |
| void | stepback (Size i, const Array &values, Array &newValues) const |
| void | initialize (DiscretizedAsset &, Time t) const |
| initialize an asset at the given time. | |
| void | rollback (DiscretizedAsset &, Time to) const |
| void | partialRollback (DiscretizedAsset &, Time to) const |
| Real | presentValue (DiscretizedAsset &) const |
| Computes the present value of an asset using Arrow-Debrew prices. | |
Public Member Functions inherited from Lattice | |
| Lattice (const TimeGrid &timeGrid) | |
| const TimeGrid & | timeGrid () const |
Protected Attributes | |
| boost::shared_ptr< T > | tree_ |
| Rate | riskFreeRate_ |
| Time | dt_ |
| DiscountFactor | discount_ |
| Real | pd_ |
| Real | pu_ |
Protected Attributes inherited from TreeLattice< BlackScholesLattice< T > > | |
| std::vector< Array > | statePrices_ |
Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
Additional Inherited Members | |
Protected Member Functions inherited from TreeLattice< BlackScholesLattice< T > > | |
| void | computeStatePrices (Size until) const |
Protected Member Functions inherited from CuriouslyRecurringTemplate< BlackScholesLattice< T > > | |
| BlackScholesLattice< T > & | impl () |
| const BlackScholesLattice< T > & | impl () const |
Simple binomial lattice approximating the Black-Scholes model.