BlackScholesLattice< T > Class Template Reference

Simple binomial lattice approximating the Black-Scholes model. More...

#include <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

template<class T>
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()

Size size

(

Size

i

)

const

Definition at line 45 of file bsmlattice.hpp.

discount()

DiscountFactor discount	(	Size	,
		Size
	)		const

Definition at line 46 of file bsmlattice.hpp.

stepback()

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

Definition at line 83 of file bsmlattice.hpp.

underlying()

Real underlying	(	Size	i,
		Size	index
	)		const

Definition at line 51 of file bsmlattice.hpp.

descendant()

Size descendant	(	Size	i,
		Size	index,
		Size	branch
	)		const

Definition at line 54 of file bsmlattice.hpp.

probability()

Real probability	(	Size	i,
		Size	index,
		Size	branch
	)		const

Definition at line 57 of file bsmlattice.hpp.

Member Data Documentation

tree_

ext::shared_ptr<T> tree_

protected

Definition at line 61 of file bsmlattice.hpp.

riskFreeRate_

Rate riskFreeRate_

protected

Definition at line 62 of file bsmlattice.hpp.

dt_

Time dt_

protected

Definition at line 63 of file bsmlattice.hpp.

discount_

DiscountFactor discount_

protected

Definition at line 64 of file bsmlattice.hpp.

pd_

Real pd_

protected

Definition at line 65 of file bsmlattice.hpp.

pu_

Real pu_

protected

Definition at line 65 of file bsmlattice.hpp.