QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Attributes | List of all members
BlackScholesLattice< T > Class Template Reference

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

#include <ql/methods/lattices/bsmlattice.hpp>

+ Inheritance 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)
 
Disposable< Arraygrid (Time t) const
 
Real underlying (Size i, Size index) const
 
- Public Member Functions inherited from TreeLattice< BlackScholesLattice< T > >
 TreeLattice (const TimeGrid &timeGrid, Size n)
 
void initialize (DiscretizedAsset &, Time t) const
 initialize an asset at the given time.
 
void rollback (DiscretizedAsset &, Time to) const
 
void partialRollback (DiscretizedAsset &, Time to) const
 
Real presentValue (DiscretizedAsset &) const
 Computes the present value of an asset using Arrow-Debrew prices.
 
const ArraystatePrices (Size i) const
 
void stepback (Size i, const Array &values, Array &newValues) const
 
- Public Member Functions inherited from Lattice
 Lattice (const TimeGrid &timeGrid)
 
const TimeGridtimeGrid () const
 

Protected Attributes

ext::shared_ptr< T > tree_
 
Rate riskFreeRate_
 
Time dt_
 
DiscountFactor discount_
 
Real pd_
 
Real pu_
 
- Protected Attributes inherited from TreeLattice< BlackScholesLattice< T > >
std::vector< ArraystatePrices_
 
- Protected Attributes inherited from Lattice
TimeGrid t_
 

Additional Inherited Members

- Protected Member Functions inherited from TreeLattice< BlackScholesLattice< T > >
void computeStatePrices (Size until) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< BlackScholesLattice< T > >
BlackScholesLattice< T > & impl ()
 
const BlackScholesLattice< T > & impl () const
 

Detailed Description

template<class T>
class QuantLib::BlackScholesLattice< T >

Simple binomial lattice approximating the Black-Scholes model.