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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a></div>
<h1>Lattice Class Template Reference<br>
<small>
[<a class="el" href="group__lattices.html">Lattice methods</a>]</small>
</h1><!-- doxytag: class="QuantLib::Lattice" --><!-- doxytag: inherits="QuantLib::NumericalMethod,QuantLib::CuriouslyRecurringTemplate" --><code>#include <ql/Lattices/lattice.hpp></code>
<p>
Inheritance diagram for Lattice:<p><center><img src="class_quant_lib_1_1_lattice__inherit__graph.png" border="0" usemap="#_lattice__inherit__map" alt="Inheritance graph"></center>
<map name="_lattice__inherit__map">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_lattice-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class Impl><br>
class QuantLib::Lattice< Impl ></h3>
Lattice-method base class.
<p>
This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will usually be based on one or more trees.<p>
Derived classes must implement the following interface: <div class="fragment"><pre class="fragment"> <span class="keyword">public</span>:
<a class="code" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> discount(<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> index) <span class="keyword">const</span>;
<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> descendant(<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) <span class="keyword">const</span>;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> probability(<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) <span class="keyword">const</span>;
</pre></div> and may implement the following: <div class="fragment"><pre class="fragment"> <span class="keyword">public</span>:
<span class="keywordtype">void</span> stepback(<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i,
<span class="keyword">const</span> Array& values,
Array& newValues) <span class="keyword">const</span>;
</pre></div>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="437418ba530514581444a941b3e90418"></a><!-- doxytag: member="QuantLib::Lattice::Lattice" ref="437418ba530514581444a941b3e90418" args="(const TimeGrid &timeGrid, Size n)" -->
</td><td class="memItemRight" valign="bottom"><b>Lattice</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, Size n)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a459bdf933b1d71b3647d1be3ea625c1"></a><!-- doxytag: member="QuantLib::Lattice::statePrices" ref="a459bdf933b1d71b3647d1be3ea625c1" args="(Size i) const" -->
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><b>statePrices</b> (Size i) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bdfae8e430bc8e203480d0b2b778ff5b"></a><!-- doxytag: member="QuantLib::Lattice::stepback" ref="bdfae8e430bc8e203480d0b2b778ff5b" args="(Size i, const Array &values, Array &newValues) const" -->
void </td><td class="memItemRight" valign="bottom"><b>stepback</b> (Size i, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &values, <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &newValues) const</td></tr>
<tr><td colspan="2"><div class="groupHeader">NumericalMethod interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adecec230a2b57534911ed193bffdb5b"></a><!-- doxytag: member="QuantLib::Lattice::initialize" ref="adecec230a2b57534911ed193bffdb5b" args="(DiscretizedAsset &, Time t) const" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#adecec230a2b57534911ed193bffdb5b">initialize</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, Time t) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initialize an asset at the given time. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#76086cb813dfb54bedee9ccac8946988">rollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, Time to) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#b295d7d0092f6d1fc6a43b74f21afd2c">partialRollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, Time to) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d3c902f7e755ead81aa81e843571d7f2"></a><!-- doxytag: member="QuantLib::Lattice::presentValue" ref="d3c902f7e755ead81aa81e843571d7f2" args="(DiscretizedAsset &) const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#d3c902f7e755ead81aa81e843571d7f2">presentValue</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &) const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Computes the present value of an asset using Arrow-Debrew prices. <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b808d850cb00707871408290c132bf24"></a><!-- doxytag: member="QuantLib::Lattice::computeStatePrices" ref="b808d850cb00707871408290c132bf24" args="(Size until) const" -->
void </td><td class="memItemRight" valign="bottom"><b>computeStatePrices</b> (Size until) const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3c97e0e3435a61b1832d2977130765f3"></a><!-- doxytag: member="QuantLib::Lattice::statePrices_" ref="3c97e0e3435a61b1832d2977130765f3" args="" -->
std::vector< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>statePrices_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="76086cb813dfb54bedee9ccac8946988"></a><!-- doxytag: member="QuantLib::Lattice::rollback" ref="76086cb813dfb54bedee9ccac8946988" args="(DiscretizedAsset &, Time to) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void rollback </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> & </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>to</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Roll back an asset until the given time, performing any needed adjustment.
<p>
Implements <a class="el" href="class_quant_lib_1_1_numerical_method.html#11cff1e1731dd65090dddf5d8ca50eb3">NumericalMethod</a>.
<p>
Reimplemented in <a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#76086cb813dfb54bedee9ccac8946988">TsiveriotisFernandesLattice</a>.
</div>
</div><p>
<a class="anchor" name="b295d7d0092f6d1fc6a43b74f21afd2c"></a><!-- doxytag: member="QuantLib::Lattice::partialRollback" ref="b295d7d0092f6d1fc6a43b74f21afd2c" args="(DiscretizedAsset &, Time to) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void partialRollback </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> & </td>
<td class="paramname">, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Time </td>
<td class="paramname"> <em>to</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
Roll back an asset until the given time, but do not perform the final adjustment.<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000062">Warning:</a></b></dt><dd>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: <div class="fragment"><pre class="fragment"> method->rollAlmostBack(asset,t);
</pre></div> with the two statements: <div class="fragment"><pre class="fragment"> method->partialRollback(asset,t);
asset->preAdjustValues();
</pre></div> </dd></dl>
<p>
Implements <a class="el" href="class_quant_lib_1_1_numerical_method.html#fae616a473afe94e5f0fcea5e6d81b74">NumericalMethod</a>.
<p>
Reimplemented in <a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#b295d7d0092f6d1fc6a43b74f21afd2c">TsiveriotisFernandesLattice</a>.
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