QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
tree.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
5 Copyright (C) 2005 StatPro Italia srl
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file tree.hpp
22 \brief Tree class
23*/
24
25#ifndef quantlib_tree_hpp
26#define quantlib_tree_hpp
27
28#include <ql/types.hpp>
30
31namespace QuantLib {
32
33 //! %Tree approximating a single-factor diffusion
34 /*! Derived classes must implement the following interface:
35 \code
36 public:
37 Real underlying(Size i, Size index) const;
38 Size size(Size i) const;
39 Size descendant(Size i, Size index, Size branch) const;
40 Real probability(Size i, Size index, Size branch) const;
41 \endcode
42 and provide a public enumeration
43 \code
44 enum { branches = N };
45 \endcode
46 where N is a suitable constant (2 for binomial, 3 for trinomial...)
47
48 \ingroup lattices
49 */
50 template <class T>
51 class Tree : public CuriouslyRecurringTemplate<T> {
52 public:
54 Size columns() const { return columns_; }
55 private:
57 };
58
59}
60
61
62#endif
Support for the curiously recurring template pattern.
Tree approximating a single-factor diffusion
Definition: tree.hpp:51
Size columns_
Definition: tree.hpp:56
Size columns() const
Definition: tree.hpp:54
Tree(Size columns)
Definition: tree.hpp:53
Curiously recurring template pattern.
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Custom types.