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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file lattice1d.hpp
\brief One-dimensional lattice class
*/
#ifndef quantlib_tree_lattice_1d_hpp
#define quantlib_tree_lattice_1d_hpp
#include <ql/methods/lattices/lattice.hpp>
namespace QuantLib {
//! One-dimensional tree-based lattice.
/*! Derived classes must implement the following interface:
\code
Real underlying(Size i, Size index) const;
\endcode
\ingroup lattices */
template <class Impl>
class TreeLattice1D : public TreeLattice<Impl> {
public:
TreeLattice1D(const TimeGrid& timeGrid, Size n)
: TreeLattice<Impl>(timeGrid,n) {}
Array grid(Time t) const override {
Size i = this->timeGrid().index(t);
Array grid(this->impl().size(i));
for (Size j=0; j<grid.size(); j++)
grid[j] = this->impl().underlying(i,j);
return grid;
}
Real underlying(Size i, Size index) const {
return this->impl().underlying(i,index);
}
};
}
#endif
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