QuantLib_TreeLattice man page

TreeLattice< Impl > — Tree-based lattice-method base class.

Synopsis

#include <ql/methods/lattices/lattice.hpp>

Inherits Lattice, and 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
initialize an asset at the given time.
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;

Member Function Documentation

void rollback (DiscretizedAsset &, Time to) const [virtual]

Roll back an asset until the given time, performing any needed adjustment.

Implements Lattice.

void partialRollback (DiscretizedAsset &, Time to) const [virtual]

Roll back an asset until the given time, but do not perform the final adjustment.

Warning

In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:

method->rollAlmostBack(asset,t);

with the two statements:

method->partialRollback(asset,t);
asset->preAdjustValues();

Implements Lattice.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

computeStatePrices(3), statePrices(3), statePrices_(3) and TreeLattice(3) are aliases of QuantLib_TreeLattice(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib