QuantLib_TreeLattice

Langue: en

Autres versions - même langue

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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