TreeLattice< Impl > Class Template Reference

Tree-based lattice-method base class. More...

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

Inheritance diagram for TreeLattice< Impl >:

Public Member Functions
	TreeLattice (const TimeGrid &timeGrid, Size n)
Public Member Functions inherited from Lattice
	Lattice (const TimeGrid &timeGrid)
const TimeGrid &	timeGrid () const
virtual Disposable< Array >	grid (Time) const =0

Lattice interface
std::vector< Array >	statePrices_
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 Array &	statePrices (Size i) const
void	stepback (Size i, const Array &values, Array &newValues) const
void	computeStatePrices (Size until) const

Additional Inherited Members
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
Impl &	impl ()
const Impl &	impl () const
Protected Attributes inherited from Lattice
TimeGrid	t_

Detailed Description

template<class Impl>
class QuantLib::TreeLattice< Impl >

Tree-based lattice-method base class.

This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will be based on one or more trees.

Derived classes must implement the following interface:

public:
  DiscountFactor discount(Size i, Size index) const;
  Size descendant(Size i, Size index, Size branch) const;
  Real probability(Size i, Size index, Size branch) const;

and may implement the following:

public:
  void stepback(Size i,
                const Array& values,
                Array& newValues) const;

Member Function Documentation

rollback()

void rollback ( DiscretizedAsset &  , Time  to  ) const

virtual

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

Implements Lattice.

partialRollback()

void partialRollback ( DiscretizedAsset &  , Time  to  ) const

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();

Implements Lattice.