Lattice (tree, finite-differences) base class More...
#include <ql/numericalmethod.hpp>
Inheritance diagram for Lattice:Public Member Functions | |
| Lattice (const TimeGrid &timeGrid) | |
| virtual Disposable< Array > | grid (Time) const =0 |
Inspectors | |
| const TimeGrid & | timeGrid () const |
Numerical method interface | |
These methods are to be used by discretized assets and must be overridden by developers implementing numerical methods. Users are advised to use the corresponding methods of DiscretizedAsset instead. | |
| virtual void | initialize (DiscretizedAsset &, Time time) const =0 |
| initialize an asset at the given time. | |
| virtual void | rollback (DiscretizedAsset &, Time to) const =0 |
| virtual void | partialRollback (DiscretizedAsset &, Time to) const =0 |
| virtual Real | presentValue (DiscretizedAsset &) const =0 |
| computes the present value of an asset. | |
Protected Attributes | |
| TimeGrid | t_ |
Lattice (tree, finite-differences) base class
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pure virtual |
Roll back an asset until the given time, performing any needed adjustment.
Implemented in TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TsiveriotisFernandesLattice< T >.
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pure virtual |
Roll back an asset until the given time, but do not perform the final adjustment.
with the two statements:
Implemented in TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TsiveriotisFernandesLattice< T >.