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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">TreeLattice< Impl > Class Template Reference<div class="ingroups"><a class="el" href="group__lattices.html">Lattice methods</a></div></div> </div>
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<!-- doxytag: class="QuantLib::TreeLattice" --><!-- doxytag: inherits="QuantLib::Lattice,QuantLib::CuriouslyRecurringTemplate" -->
<p>Tree-based lattice-method base class.
<a href="class_quant_lib_1_1_tree_lattice.html#details">More...</a></p>
<p><code>#include <ql/methods/lattices/lattice.hpp></code></p>
<div class="dynheader">
Inheritance diagram for TreeLattice< Impl >:</div>
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<div class="center"><img src="class_quant_lib_1_1_tree_lattice__inherit__graph.png" border="0" usemap="#_tree_lattice_3_01_impl_01_4_inherit__map" alt="Inheritance graph"/></div>
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<area shape="rect" id="node7" href="class_quant_lib_1_1_tree_lattice1_d.html" title="One-dimensional tree-based lattice." alt="" coords="5,166,155,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_tree_lattice2_d.html" title="Two-dimensional tree-based lattice." alt="" coords="179,166,328,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_lattice.html" title="Lattice (tree, finite-differences) base class" alt="" coords="51,6,112,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_curiously_recurring_template.html" title="Support for the curiously recurring template pattern." alt="" coords="136,6,368,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_tree_lattice-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af64044578078d5872bb088b0a6892a6f"></a><!-- doxytag: member="QuantLib::TreeLattice::TreeLattice" ref="af64044578078d5872bb088b0a6892a6f" args="(const TimeGrid &timeGrid, Size n)" -->
 </td><td class="memItemRight" valign="bottom"><b>TreeLattice</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6d32cc75a7f9816adfd48389fbc79aa3"></a><!-- doxytag: member="QuantLib::TreeLattice::statePrices" ref="a6d32cc75a7f9816adfd48389fbc79aa3" 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> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4ed1f3825ab5baec5aa09fcf7f7b4000"></a><!-- doxytag: member="QuantLib::TreeLattice::stepback" ref="a4ed1f3825ab5baec5aa09fcf7f7b4000" args="(Size i, const Array &values, Array &newValues) const " -->
void </td><td class="memItemRight" valign="bottom"><b>stepback</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> 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">Lattice interface</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1ddfbb7f9627db7391473e14c4a1fee2"></a><!-- doxytag: member="QuantLib::TreeLattice::initialize" ref="a1ddfbb7f9627db7391473e14c4a1fee2" args="(DiscretizedAsset &, Time t) const " -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#a1ddfbb7f9627db7391473e14c4a1fee2">initialize</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> 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" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#a47fadd8835bd6040e705f4a46c46ad86">rollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#a90141038ed4cf080568664474ee02524">partialRollback</a> (<a class="el" href="class_quant_lib_1_1_discretized_asset.html">DiscretizedAsset</a> &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> to) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6e58935b14ee8a45352a848a2e03dc51"></a><!-- doxytag: member="QuantLib::TreeLattice::presentValue" ref="a6e58935b14ee8a45352a848a2e03dc51" args="(DiscretizedAsset &) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_tree_lattice.html#a6e58935b14ee8a45352a848a2e03dc51">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"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a35cc043956b512290a20ee390b85f840"></a><!-- doxytag: member="QuantLib::TreeLattice::computeStatePrices" ref="a35cc043956b512290a20ee390b85f840" args="(Size until) const " -->
void </td><td class="memItemRight" valign="bottom"><b>computeStatePrices</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> until) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3c97e0e3435a61b1832d2977130765f3"></a><!-- doxytag: member="QuantLib::TreeLattice::statePrices_" ref="a3c97e0e3435a61b1832d2977130765f3" 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/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class Impl><br/>
class QuantLib::TreeLattice< Impl ></h3>
<p>Tree-based lattice-method base class. </p>
<p>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.</p>
<p>Derived classes must implement the following interface: </p>
<div class="fragment"><pre class="fragment"> <span class="keyword">public</span>:
<a class="code" href="group__types.html#ga642a971a0bcbbd2fb26c35e1a06e5761" title="discount factor between dates">DiscountFactor</a> discount(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> index) <span class="keyword">const</span>;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> descendant(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> index, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> branch) <span class="keyword">const</span>;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> probability(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> index, <a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> branch) <span class="keyword">const</span>;
</pre></div><p> and may implement the following: </p>
<div class="fragment"><pre class="fragment"> <span class="keyword">public</span>:
<span class="keywordtype">void</span> stepback(<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> i,
<span class="keyword">const</span> Array& values,
Array& newValues) <span class="keyword">const</span>;
</pre></div> </div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a47fadd8835bd6040e705f4a46c46ad86"></a><!-- doxytag: member="QuantLib::TreeLattice::rollback" ref="a47fadd8835bd6040e705f4a46c46ad86" args="(DiscretizedAsset &, Time to) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_tree_lattice.html#a47fadd8835bd6040e705f4a46c46ad86">rollback</a> </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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>to</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> const<code> [virtual]</code></td>
</tr>
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<div class="memdoc">
<p>Roll back an asset until the given time, performing any needed adjustment. </p>
<p>Implements <a class="el" href="class_quant_lib_1_1_lattice.html#ac284e0bd252bb0977c06d28bdefdfc06">Lattice</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#a47fadd8835bd6040e705f4a46c46ad86">TsiveriotisFernandesLattice< T ></a>.</p>
</div>
</div>
<a class="anchor" id="a90141038ed4cf080568664474ee02524"></a><!-- doxytag: member="QuantLib::TreeLattice::partialRollback" ref="a90141038ed4cf080568664474ee02524" args="(DiscretizedAsset &, Time to) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_tree_lattice.html#a90141038ed4cf080568664474ee02524">partialRollback</a> </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#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td>
<td class="paramname"><em>to</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td> 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 class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000083">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: </dd></dl>
<div class="fragment"><pre class="fragment"> method->rollAlmostBack(asset,t);
</pre></div><p> with the two statements: </p>
<div class="fragment"><pre class="fragment"> method->partialRollback(asset,t);
asset->preAdjustValues();
</pre></div>
<p>Implements <a class="el" href="class_quant_lib_1_1_lattice.html#a014c376879c97eb1268c460dfeeebb4d">Lattice</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_tsiveriotis_fernandes_lattice.html#a90141038ed4cf080568664474ee02524">TsiveriotisFernandesLattice< T ></a>.</p>
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