One-dimensional tree-based lattice. More...

#include <ql/methods/lattices/lattice1d.hpp>

Inheritance diagram for TreeLattice1D< Impl >:

Public Member Functions
	TreeLattice1D (const TimeGrid &timeGrid, Size n)

Disposable< Array >	grid (Time t) const

Real	underlying (Size i, Size index) const

Public Member Functions inherited from TreeLattice< Impl >
	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 Array &	statePrices (Size i) const

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

Public Member Functions inherited from Lattice
	Lattice (const TimeGrid &timeGrid)

const TimeGrid &	timeGrid () const

Additional Inherited Members
Protected Member Functions inherited from TreeLattice< Impl >
void	computeStatePrices (Size until) const

Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
Impl &	impl ()

const Impl &	impl () const

Protected Attributes inherited from TreeLattice< Impl >
std::vector< Array >	statePrices_

Protected Attributes inherited from Lattice
TimeGrid	t_

Detailed Description

One-dimensional tree-based lattice.

Derived classes must implement the following interface:

Real underlying(Size i, Size index) const;

Public Member Functions