Simple binomial lattice approximating the Black-Scholes model. More...
#include <ql/methods/lattices/bsmlattice.hpp>
Inheritance diagram for BlackScholesLattice< T >:
Collaboration diagram for BlackScholesLattice< T >:
Public Member Functions | |
| BlackScholesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) | |
| Rate | riskFreeRate () const |
| Time | dt () const |
| Size | size (Size i) const |
| DiscountFactor | discount (Size, Size) const |
| void | stepback (Size i, const Array &values, Array &newValues) const |
| Real | underlying (Size i, Size index) const |
| Size | descendant (Size i, Size index, Size branch) const |
| Real | probability (Size i, Size index, Size branch) const |
| Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > > | |
| 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 |
Protected Attributes | |
| ext::shared_ptr< T > | tree_ |
| Rate | riskFreeRate_ |
| Time | dt_ |
| DiscountFactor | discount_ |
| Real | pd_ |
| Real | pu_ |
| Protected Attributes inherited from TreeLattice< Impl > | |
| std::vector< Array > | statePrices_ |
| Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
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 |
Detailed Description
class QuantLib::BlackScholesLattice< T >
Simple binomial lattice approximating the Black-Scholes model.
Definition at line 36 of file bsmlattice.hpp.
Constructor & Destructor Documentation
◆ BlackScholesLattice()
| BlackScholesLattice | ( | const ext::shared_ptr< T > & | tree, |
| Rate | riskFreeRate, | ||
| Time | end, | ||
| Size | steps | ||
| ) |
Definition at line 72 of file bsmlattice.hpp.
Member Function Documentation
◆ riskFreeRate()
| Rate riskFreeRate | ( | ) | const |
Definition at line 43 of file bsmlattice.hpp.
◆ dt()
| Time dt | ( | ) | const |
Definition at line 44 of file bsmlattice.hpp.
◆ size()
Definition at line 45 of file bsmlattice.hpp.
◆ discount()
| DiscountFactor discount | ( | Size | , |
| Size | |||
| ) | const |
Definition at line 46 of file bsmlattice.hpp.
◆ stepback()
Definition at line 83 of file bsmlattice.hpp.
◆ underlying()
Definition at line 51 of file bsmlattice.hpp.
◆ descendant()
Definition at line 54 of file bsmlattice.hpp.
◆ probability()
Definition at line 57 of file bsmlattice.hpp.
Member Data Documentation
◆ tree_
|
protected |
Definition at line 61 of file bsmlattice.hpp.
◆ riskFreeRate_
|
protected |
Definition at line 62 of file bsmlattice.hpp.
◆ dt_
|
protected |
Definition at line 63 of file bsmlattice.hpp.
◆ discount_
|
protected |
Definition at line 64 of file bsmlattice.hpp.
◆ pd_
|
protected |
Definition at line 65 of file bsmlattice.hpp.
◆ pu_
|
protected |
Definition at line 65 of file bsmlattice.hpp.