Lattice (tree, finite-differences) base class More...

#include <ql/numericalmethod.hpp>

Inheritance diagram for Lattice:

Public Member Functions
	Lattice (const TimeGrid &timeGrid)

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.
TimeGrid	t_

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.

virtual Disposable< Array >	grid (Time) const =0

Detailed Description

Lattice (tree, finite-differences) base class

Member Function Documentation

pure virtual

Roll back an asset until the given time, performing any needed adjustment.

virtual void partialRollback	(	DiscretizedAsset &	,
		Time	to
	)		const

pure virtual

Roll back an asset until the given time, but do not perform the final adjustment.

Warning:: In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:

method->rollAlmostBack(asset,t);

with the two statements:

method->partialRollback(asset,t);

asset->preAdjustValues();