#include <ql/Lattices/lattice.hpp>
Inheritance diagram for Lattice:
[legend]List of all members.
Detailed Description
Lattice-method base class.
This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will usually be based on one or more trees.
|
Public Member Functions |
| Lattice (const TimeGrid &timeGrid, Size n) |
Real | presentValue (const boost::shared_ptr< DiscretizedAsset > &asset) |
| Computes the present value of an asset using Arrow-Debrew prices.
|
void | initialize (const boost::shared_ptr< DiscretizedAsset > &asset, Time t) const |
| Initialize a DiscretizedAsset object.
|
void | rollback (const boost::shared_ptr< DiscretizedAsset > &asset, Time to) const |
void | rollAlmostBack (const boost::shared_ptr< DiscretizedAsset > &asset, Time to) const |
virtual Size | size (Size i) const =0 |
virtual DiscountFactor | discount (Size i, Size index) const =0 |
| Discount factor at time t_i and node indexed by index.
|
const Array & | statePrices (Size i) |
virtual Size | descendant (Size i, Size index, Size branch) const =0 |
| Tree properties.
|
virtual Real | probability (Size i, Size index, Size branch) const =0 |
Protected Member Functions |
void | computeStatePrices (Size until) |
virtual void | stepback (Size i, const Array &values, Array &newValues) const |
Protected Attributes |
std::vector< Array > | statePrices_ |
Member Function Documentation
void rollAlmostBack |
( |
const boost::shared_ptr< DiscretizedAsset > & |
asset, |
|
|
Time |
to |
|
) |
const [virtual] |
|
|