numericalmethod.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2004, 2005 StatPro Italia srl
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_lattice_hpp
#define quantlib_lattice_hpp
 
#include <ql/math/array.hpp>
#include <ql/timegrid.hpp>
#include <utility>
 
namespace QuantLib {
 
    class DiscretizedAsset;
 
    class Lattice {
      public:
        explicit Lattice(TimeGrid timeGrid) : t_(std::move(timeGrid)) {}
        virtual ~Lattice() = default;
 
        //{
        const TimeGrid& timeGrid() const { return t_; }
 
        virtual void initialize(DiscretizedAsset&,
                                Time time) const = 0;
 
        virtual void rollback(DiscretizedAsset&,
                              Time to) const = 0;
 
        virtual void partialRollback(DiscretizedAsset&,
                                     Time to) const = 0;
 
        virtual Real presentValue(DiscretizedAsset&) const = 0;
 
 
        // this is a smell, but we need it. We'll rethink it later.
        virtual Array grid(Time) const = 0;
      protected:
        TimeGrid t_;
    };
 
}
 
 
#endif