Tree-based lattice-method base class. More...
#include <ql/methods/lattices/lattice.hpp>
Inheritance diagram for TreeLattice< Impl >:Public Member Functions | |
| TreeLattice (const TimeGrid &timeGrid, Size n) | |
| const Array & | statePrices (Size i) const |
| void | stepback (Size i, const Array &values, Array &newValues) const |
Lattice interface | |
| 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) | |
| virtual Disposable< Array > | grid (Time) const =0 |
| const TimeGrid & | timeGrid () const |
Protected Member Functions | |
| void | computeStatePrices (Size until) const |
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl > | |
| Impl & | impl () |
| const Impl & | impl () const |
Protected Attributes | |
| std::vector< Array > | statePrices_ |
Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
Tree-based lattice-method base class.
This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will be based on one or more trees.
Derived classes must implement the following interface:
and may implement the following:
|
virtual |
Roll back an asset until the given time, performing any needed adjustment.
Implements Lattice.
|
virtual |
Roll back an asset until the given time, but do not perform the final adjustment.
with the two statements:
Implements Lattice.