BlackScholesLattice< T > Class Template Reference

Simple binomial lattice approximating the Black-Scholes model. More...

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

Inheritance diagram for BlackScholesLattice< T >:

Public Member Functions
	BlackScholesLattice (const ext::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)
Rate	riskFreeRate () const
Time	dt () const
Size	size (Size i) const
DiscountFactor	discount (Size, Size) const
void	stepback (Size i, const Array &values, Array &newValues) const
Real	underlying (Size i, Size index) const
Size	descendant (Size i, Size index, Size branch) const
Real	probability (Size i, Size index, Size branch) const
Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > >
	TreeLattice1D (const TimeGrid &timeGrid, Size n)
Array	grid (Time t) const override
Real	underlying (Size i, Size index) const
Public Member Functions inherited from TreeLattice< BlackScholesLattice< T > >
	TreeLattice (const TimeGrid &timeGrid, Size n)
void	initialize (DiscretizedAsset &, Time t) const override
	initialize an asset at the given time.
void	rollback (DiscretizedAsset &, Time to) const override
void	partialRollback (DiscretizedAsset &, Time to) const override
Real	presentValue (DiscretizedAsset &) const override
	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 (TimeGrid timeGrid)
const TimeGrid &	timeGrid () const

Protected Attributes
ext::shared_ptr< T >	tree_
Rate	riskFreeRate_
Time	dt_
DiscountFactor	discount_
Real	pd_
Real	pu_
std::vector< Array >	statePrices_
TimeGrid	t_

Additional Inherited Members
void	computeStatePrices (Size until) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< BlackScholesLattice< T > >
BlackScholesLattice< T > &	impl ()

Detailed Description

template<class T>
class QuantLib::BlackScholesLattice< T >

Simple binomial lattice approximating the Black-Scholes model.