BlackScholesLattice Class Reference
[Lattice methods]

#include <ql/Lattices/bsmlattice.hpp>

Inheritance diagram for BlackScholesLattice:

Inheritance graph
[legend]
List of all members.

Detailed Description

Simple binomial lattice approximating the Black-Scholes model.


Public Member Functions

 BlackScholesLattice (const boost::shared_ptr< Tree > &tree, Rate riskFreeRate, Time end, Size steps)
Size size (Size i) const
DiscountFactor discount (Size, Size) const
 Discount factor at time t_i and node indexed by index.

const boost::shared_ptr< Tree > & tree () const

Protected Member Functions

void stepback (Size i, const Array &values, Array &newValues) const
Size descendant (Size i, Size index, Size branch) const
 Tree properties.

Real probability (Size i, Size index, Size branch) const


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen