QuantLib_BlackScholesLattice man page
BlackScholesLattice< T > — Simple binomial lattice approximating the Black-Scholes model.
Synopsis
#include <ql/methods/lattices/bsmlattice.hpp>
Inherits TreeLattice1D< BlackScholesLattice< T > >.
Inherited by TsiveriotisFernandesLattice< T >.
Public Member Functions
BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)
Rate riskFreeRate () const
Time dt () const
Size size (Size i) const
DiscountFactor discount (Size, Size) const
void stepback (Size i, const Array &values, Array &newValues) const
Real underlying (Size i, Size index) const
Size descendant (Size i, Size index, Size branch) const
Real probability (Size i, Size index, Size branch) const
Protected Attributes
boost::shared_ptr< T > tree_
Rate riskFreeRate_
Time dt_
DiscountFactor discount_
Real pd_
Real pu_
Additional Inherited Members
Detailed Description
template<class T>
class QuantLib::BlackScholesLattice< T >" Simple binomial lattice approximating the Black-Scholes model.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
BlackScholesLattice(3), dt(3), pd_(3), probability(3), pu_(3), riskFreeRate(3), riskFreeRate_(3), stepback(3), tree_(3) and underlying(3) are aliases of QuantLib_BlackScholesLattice(3).