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<title>QuantLib: Lattice Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_lattice.html">Lattice</a></div>
<h1>Lattice Class Reference</h1><!-- doxytag: class="QuantLib::Lattice" --><code>#include <ql/numericalmethod.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Lattice:</div>
<div class="dynsection">
<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">
<area shape="rect" href="class_quant_lib_1_1_tree_lattice.html" title="Tree-based lattice-method base class." alt="" coords="272,5,363,32"><area shape="rect" href="class_quant_lib_1_1_tree_lattice.html" title="TreeLattice\< QuantLib::BlackScholesLattice\< T \> \>" alt="" coords="143,56,492,83"><area shape="rect" href="class_quant_lib_1_1_tree_lattice.html" title="TreeLattice\< QuantLib::OneFactorModel::ShortRateTree \>" alt="" coords="120,107,515,133"><area shape="rect" href="class_quant_lib_1_1_tree_lattice.html" title="TreeLattice\< QuantLib::TwoFactorModel::ShortRateTree \>" alt="" coords="123,157,512,184"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<a href="class_quant_lib_1_1_lattice-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Lattice (tree, finite-differences) base class <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="a11e1abb76c37d91d43b0e0fd132f9c4"></a><!-- doxytag: member="QuantLib::Lattice::Lattice" ref="a11e1abb76c37d91d43b0e0fd132f9c4" args="(const TimeGrid &timeGrid)" -->
</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)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="85dadec35b0b9775e93b8c0d826447ba"></a><!-- doxytag: member="QuantLib::Lattice::grid" ref="85dadec35b0b9775e93b8c0d826447ba" args="(Time) const =0" -->
virtual <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>grid</b> (<a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a>) const =0</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f56adbf4be442b2ca611a3840ba6c50"></a><!-- doxytag: member="QuantLib::Lattice::timeGrid" ref="6f56adbf4be442b2ca611a3840ba6c50" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Numerical method interface</div></td></tr>
<tr><td colspan="2"><div class="groupText">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. <br><br></div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8f3082121a4d10bf0c4e141212935378"></a><!-- doxytag: member="QuantLib::Lattice::initialize" ref="8f3082121a4d10bf0c4e141212935378" args="(DiscretizedAsset &, Time time) const =0" -->
virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#8f3082121a4d10bf0c4e141212935378">initialize</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> time) const =0</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">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#c284e0bd252bb0977c06d28bdefdfc06">rollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_lattice.html#014c376879c97eb1268c460dfeeebb4d">partialRollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const =0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0fe7a4c02a090391b474654cf43ddb56"></a><!-- doxytag: member="QuantLib::Lattice::presentValue" ref="0fe7a4c02a090391b474654cf43ddb56" args="(DiscretizedAsset &) const =0" -->
virtual <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#0fe7a4c02a090391b474654cf43ddb56">presentValue</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &) const =0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">computes the present value of an asset. <br></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="b90fa1dcf13b5f32d2e434defca13d21"></a><!-- doxytag: member="QuantLib::Lattice::t_" ref="b90fa1dcf13b5f32d2e434defca13d21" args="" -->
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>t_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="c284e0bd252bb0977c06d28bdefdfc06"></a><!-- doxytag: member="QuantLib::Lattice::rollback" ref="c284e0bd252bb0977c06d28bdefdfc06" args="(DiscretizedAsset &, Time to) const =0" -->
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<td class="memname">virtual 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"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>to</em></td><td> </td>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [pure virtual]</code></td>
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<p>
Roll back an asset until the given time, performing any needed adjustment.
<p>Implemented in <a class="el" href="class_quant_lib_1_1_tree_lattice.html#47fadd8835bd6040e705f4a46c46ad86">TreeLattice</a>, <a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#47fadd8835bd6040e705f4a46c46ad86">TsiveriotisFernandesLattice</a>, <a class="el" href="class_quant_lib_1_1_tree_lattice.html#47fadd8835bd6040e705f4a46c46ad86">TreeLattice< QuantLib::BlackScholesLattice< T > ></a>, <a class="el" href="class_quant_lib_1_1_tree_lattice.html#47fadd8835bd6040e705f4a46c46ad86">TreeLattice< QuantLib::OneFactorModel::ShortRateTree ></a>, and <a class="el" href="class_quant_lib_1_1_tree_lattice.html#47fadd8835bd6040e705f4a46c46ad86">TreeLattice< QuantLib::TwoFactorModel::ShortRateTree ></a>.</p>
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</div><p>
<a class="anchor" name="014c376879c97eb1268c460dfeeebb4d"></a><!-- doxytag: member="QuantLib::Lattice::partialRollback" ref="014c376879c97eb1268c460dfeeebb4d" args="(DiscretizedAsset &, Time to) const =0" -->
<div class="memitem">
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<td class="memname">virtual 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"><a class="el" href="group__types.html#g14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"> <em>to</em></td><td> </td>
</tr>
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<td></td>
<td>)</td>
<td></td><td></td><td width="100%"> const<code> [pure virtual]</code></td>
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<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#_caveats000068">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>Implemented in <a class="el" href="class_quant_lib_1_1_tree_lattice.html#90141038ed4cf080568664474ee02524">TreeLattice</a>, <a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#90141038ed4cf080568664474ee02524">TsiveriotisFernandesLattice</a>, <a class="el" href="class_quant_lib_1_1_tree_lattice.html#90141038ed4cf080568664474ee02524">TreeLattice< QuantLib::BlackScholesLattice< T > ></a>, <a class="el" href="class_quant_lib_1_1_tree_lattice.html#90141038ed4cf080568664474ee02524">TreeLattice< QuantLib::OneFactorModel::ShortRateTree ></a>, and <a class="el" href="class_quant_lib_1_1_tree_lattice.html#90141038ed4cf080568664474ee02524">TreeLattice< QuantLib::TwoFactorModel::ShortRateTree ></a>.</p>
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