TreeLattice1D< Impl > Class Template Reference

One-dimensional tree-based lattice. More...

#include <ql/methods/lattices/lattice1d.hpp>

Inheritance diagram for TreeLattice1D< Impl >:

Public Member Functions
	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< Impl >
	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

Additional Inherited Members
void	computeStatePrices (Size until) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
Impl &	impl ()
const Impl &	impl () const
std::vector< Array >	statePrices_
TimeGrid	t_

Detailed Description

template<class Impl>
class QuantLib::TreeLattice1D< Impl >

One-dimensional tree-based lattice.

Derived classes must implement the following interface:

Real underlying(Size i, Size index) const;

Member Function Documentation

grid()

template<class Impl>

Array grid ( Time t ) const

overridevirtual

Implements Lattice.