QuantLib_Lattice (3) - Linux Manuals

QuantLib_Lattice: Lattice (tree, finite-differences) base class

NAME

QuantLib::Lattice - Lattice (tree, finite-differences) base class

SYNOPSIS

#include <ql/numericalmethod.hpp>

Inherited by TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, and TreeLattice< TwoFactorModel::ShortRateTree >.

Public Member Functions

Lattice (const TimeGrid &timeGrid)

virtual Disposable< Array > grid (Time) const =0

Inspectors

const TimeGrid & timeGrid () const

Numerical method interface
These methods are to be used by discretized assets and must be overridden by developers implementing numerical methods. Users are advised to use the corresponding methods of DiscretizedAsset instead.

virtual void initialize (DiscretizedAsset &, Time time) const =0
initialize an asset at the given time.
virtual void rollback (DiscretizedAsset &, Time to) const =0

virtual void partialRollback (DiscretizedAsset &, Time to) const =0

virtual Real presentValue (DiscretizedAsset &) const =0
computes the present value of an asset.

Protected Attributes

TimeGrid t_

Detailed Description

Lattice (tree, finite-differences) base class

Member Function Documentation

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

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

Implemented in TreeLattice< Impl >, TsiveriotisFernandesLattice< T >, TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TreeLattice< TwoFactorModel::ShortRateTree >.

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

Implemented in TreeLattice< Impl >, TsiveriotisFernandesLattice< T >, TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TreeLattice< TwoFactorModel::ShortRateTree >.

Author

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