QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
methods
lattices
tree.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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Copyright (C) 2005 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file tree.hpp
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\brief Tree class
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*/
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#ifndef quantlib_tree_hpp
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#define quantlib_tree_hpp
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#include <
ql/types.hpp
>
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#include <
ql/patterns/curiouslyrecurring.hpp
>
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namespace
QuantLib
{
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//! %Tree approximating a single-factor diffusion
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/*! Derived classes must implement the following interface:
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\code
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public:
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Real underlying(Size i, Size index) const;
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Size size(Size i) const;
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Size descendant(Size i, Size index, Size branch) const;
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Real probability(Size i, Size index, Size branch) const;
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\endcode
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and provide a public enumeration
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\code
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enum { branches = N };
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\endcode
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where N is a suitable constant (2 for binomial, 3 for trinomial...)
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\ingroup lattices
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*/
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template
<
class
T>
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class
Tree
:
public
CuriouslyRecurringTemplate
<T> {
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public
:
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explicit
Tree
(
Size
columns
) :
columns_
(
columns
) {}
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Size
columns
()
const
{
return
columns_
; }
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private
:
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Size
columns_
;
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};
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}
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#endif
QuantLib::CuriouslyRecurringTemplate
Support for the curiously recurring template pattern.
Definition:
curiouslyrecurring.hpp:39
QuantLib::Tree
Tree approximating a single-factor diffusion
Definition:
tree.hpp:51
QuantLib::Tree::columns_
Size columns_
Definition:
tree.hpp:56
QuantLib::Tree::columns
Size columns() const
Definition:
tree.hpp:54
QuantLib::Tree::Tree
Tree(Size columns)
Definition:
tree.hpp:53
curiouslyrecurring.hpp
Curiously recurring template pattern.
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
types.hpp
Custom types.
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