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QuantLib_TreeLattice
Langue: en
Version: 376008 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::TreeLattice -Tree-based lattice-method base class.
SYNOPSIS
#include <ql/methods/lattices/lattice.hpp>
Inherits QuantLib::Lattice, and QuantLib::CuriouslyRecurringTemplate< Impl >.
Inherited by TreeLattice1D< Impl >, and TreeLattice2D< Impl, T >.
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
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.
Protected Member Functions
void computeStatePrices (Size until) const
Protected Attributes
std::vector< Array > statePrices_
Detailed Description
template<class Impl> class QuantLib::TreeLattice< Impl >
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:
public: DiscountFactor discount(Size i, Size index) const; Size descendant(Size i, Size index, Size branch) const; Real probability(Size i, Size index, Size branch) const;
and may implement the following:
public: void stepback(Size i, const Array& values, Array& newValues) const;
Author
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