QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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One-dimensional tree-based lattice. More...
#include <lattice1d.hpp>
Public Member Functions | |
TreeLattice1D (const TimeGrid &timeGrid, Size n) | |
Array | grid (Time t) const override |
Real | underlying (Size i, Size index) const |
Public Member Functions inherited from TreeLattice< Impl > | |
TreeLattice (const TimeGrid &timeGrid, Size n) | |
void | initialize (DiscretizedAsset &, Time t) const override |
initialize an asset at the given time. More... | |
void | rollback (DiscretizedAsset &, Time to) const override |
void | partialRollback (DiscretizedAsset &, Time to) const override |
Real | presentValue (DiscretizedAsset &) const override |
Computes the present value of an asset using Arrow-Debrew prices. More... | |
const Array & | statePrices (Size i) const |
void | stepback (Size i, const Array &values, Array &newValues) const |
Public Member Functions inherited from Lattice | |
Lattice (TimeGrid timeGrid) | |
virtual | ~Lattice ()=default |
const TimeGrid & | timeGrid () const |
Additional Inherited Members | |
Protected Member Functions inherited from TreeLattice< Impl > | |
void | computeStatePrices (Size until) const |
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl > | |
CuriouslyRecurringTemplate ()=default | |
~CuriouslyRecurringTemplate ()=default | |
Impl & | impl () |
const Impl & | impl () const |
Protected Attributes inherited from TreeLattice< Impl > | |
std::vector< Array > | statePrices_ |
Protected Attributes inherited from Lattice | |
TimeGrid | t_ |
One-dimensional tree-based lattice.
Derived classes must implement the following interface:
Definition at line 39 of file lattice1d.hpp.
TreeLattice1D | ( | const TimeGrid & | timeGrid, |
Size | n | ||
) |
Definition at line 41 of file lattice1d.hpp.
Implements Lattice.
Definition at line 43 of file lattice1d.hpp.