TreeLattice< Impl > Class Template Reference

Tree-based lattice-method base class. More...

#include <lattice.hpp>

Inheritance diagram for TreeLattice< Impl >:

Collaboration diagram for TreeLattice< Impl >:

Public Member Functions
	TreeLattice (const TimeGrid &timeGrid, Size n)
Public Member Functions inherited from Lattice
	Lattice (TimeGrid timeGrid)
virtual	~Lattice ()=default
const TimeGrid &	timeGrid () const
virtual Array	grid (Time) const =0

Lattice interface
std::vector< Array >	statePrices_
Size	n_
Size	statePricesLimit_
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
void	computeStatePrices (Size until) const

Additional Inherited Members
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
	CuriouslyRecurringTemplate ()=default
	~CuriouslyRecurringTemplate ()=default
Impl &	impl ()
const Impl &	impl () const
Protected Attributes inherited from Lattice
TimeGrid	t_

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;

Definition at line 57 of file lattice.hpp.

Constructor & Destructor Documentation

TreeLattice()

TreeLattice	(	const TimeGrid &	timeGrid,
		Size	n
	)

Definition at line 60 of file lattice.hpp.

Member Function Documentation

initialize()

void initialize ( DiscretizedAsset &  , Time  time  ) const

overridevirtual

initialize an asset at the given time.

Implements Lattice.

Definition at line 127 of file lattice.hpp.

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rollback()

void rollback ( DiscretizedAsset &  , Time  to  ) const

overridevirtual

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

Implements Lattice.

Reimplemented in TsiveriotisFernandesLattice< T >.

Definition at line 134 of file lattice.hpp.

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partialRollback()

void partialRollback ( DiscretizedAsset &  , Time  to  ) const

overridevirtual

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.

Reimplemented in TsiveriotisFernandesLattice< T >.

Definition at line 140 of file lattice.hpp.

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presentValue()

Real presentValue ( DiscretizedAsset &  asset ) const

overridevirtual

Computes the present value of an asset using Arrow-Debrew prices.

Implements Lattice.

Definition at line 121 of file lattice.hpp.

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statePrices()

const Array & statePrices

(

Size

i

)

const

Definition at line 114 of file lattice.hpp.

stepback()

void stepback	(	Size	i,
		const Array &	values,
		Array &	newValues
	)		const

Definition at line 167 of file lattice.hpp.

computeStatePrices()

void computeStatePrices ( Size  until ) const

protected

Definition at line 98 of file lattice.hpp.

Member Data Documentation

statePrices_

std::vector<Array> statePrices_

mutableprotected

Definition at line 87 of file lattice.hpp.

n_

Size n_

private

Definition at line 90 of file lattice.hpp.

statePricesLimit_

Size statePricesLimit_

mutableprivate

Definition at line 91 of file lattice.hpp.