Lattice Class Reference

Lattice (tree, finite-differences) base class More...

#include <ql/numericalmethod.hpp>

Inheritance diagram for Lattice:

Public Member Functions
	Lattice (TimeGrid timeGrid)
Inspectors
const TimeGrid &	timeGrid () const

Numerical method interface
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.
TimeGrid	t_
virtual void	initialize (DiscretizedAsset &, Time time) const =0
	initialize an asset at the given time.
virtual void	rollback (DiscretizedAsset &, Time to) const =0
virtual void	partialRollback (DiscretizedAsset &, Time to) const =0
virtual Real	presentValue (DiscretizedAsset &) const =0
	computes the present value of an asset.
virtual Array	grid (Time) const =0

Detailed Description

Lattice (tree, finite-differences) base class

Member Function Documentation

initialize()

virtual void initialize ( DiscretizedAsset & , Time time ) const

pure virtual

initialize an asset at the given time.

Implemented in TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< OneFactorModel::ShortRateTree >, and TreeLattice< TwoFactorModel::ShortRateTree >.

rollback()

virtual void rollback ( DiscretizedAsset & , Time to ) const

pure virtual

Roll back an asset until the given time, performing any needed adjustment.

Implemented in TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, and TsiveriotisFernandesLattice< T >.

partialRollback()

virtual void partialRollback ( DiscretizedAsset & , Time to ) const

pure virtual

Roll back an asset until the given time, but do not perform the final adjustment.

Warning

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:

method->rollAlmostBack(asset,t);

with the two statements:

method->partialRollback(asset,t);
asset->preAdjustValues();

Implemented in TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, and TsiveriotisFernandesLattice< T >.

presentValue()

virtual Real presentValue ( DiscretizedAsset & ) const

pure virtual

computes the present value of an asset.

Implemented in TreeLattice< Impl >, TreeLattice< BlackScholesLattice< T > >, TreeLattice< OneFactorModel::ShortRateTree >, and TreeLattice< TwoFactorModel::ShortRateTree >.