TreeLattice< Impl > Class Template Reference

Tree-based lattice-method base class. More...

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

Inheritance diagram for TreeLattice< Impl >:

Public Member Functions
	TreeLattice (const TimeGrid &timeGrid, Size n)
Public Member Functions inherited from Lattice
	Lattice (TimeGrid timeGrid)
const TimeGrid &	timeGrid () const
virtual Array	grid (Time) const =0

Lattice interface
std::vector< Array >	statePrices_
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
void	computeStatePrices (Size until) const

Additional Inherited Members
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
Impl &	impl ()
const Impl &	impl () const
TimeGrid	t_

Detailed Description

template<class Impl>
class QuantLib::TreeLattice< Impl >

Tree-based lattice-method base class.

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.

Derived classes must implement the following interface:

public:
  DiscountFactor discount(Size i, Size index) const;
  Size descendant(Size i, Size index, Size branch) const;
  Real probability(Size i, Size index, Size branch) const;

and may implement the following:

public:
  void stepback(Size i,
                const Array& values,
                Array& newValues) const;

Member Function Documentation

initialize()

template<class Impl>

void initialize ( DiscretizedAsset & , Time time ) const

overridevirtual

initialize an asset at the given time.

Implements Lattice.

rollback()

template<class Impl>

void rollback ( DiscretizedAsset & , Time to ) const

overridevirtual

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

Implements Lattice.

Reimplemented in TsiveriotisFernandesLattice< T >.

partialRollback()

template<class Impl>

void partialRollback ( DiscretizedAsset & , Time to ) const

overridevirtual

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();

Implements Lattice.

Reimplemented in TsiveriotisFernandesLattice< T >.

presentValue()

template<class Impl>

Real presentValue ( DiscretizedAsset & asset ) const

overridevirtual

Computes the present value of an asset using Arrow-Debrew prices.

Implements Lattice.