Lattice Class Reference

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

#include <numericalmethod.hpp>

Inheritance diagram for Lattice:

Collaboration diagram for Lattice:

Public Member Functions
	Lattice (TimeGrid timeGrid)
virtual	~Lattice ()=default
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. More...
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. More...
virtual Array	grid (Time) const =0

Detailed Description

Lattice (tree, finite-differences) base class

Definition at line 37 of file numericalmethod.hpp.

Constructor & Destructor Documentation

Lattice()

Lattice ( TimeGrid  timeGrid )

explicit

Definition at line 39 of file numericalmethod.hpp.

~Lattice()

virtual ~Lattice ( )

virtualdefault

Member Function Documentation

timeGrid()

const TimeGrid & timeGrid

(

)

const

Definition at line 44 of file numericalmethod.hpp.

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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 >.

grid()

virtual Array grid ( Time  ) const

pure virtual

Implemented in TreeLattice1D< Impl >, TreeLattice1D< BlackScholesLattice< T > >, TreeLattice1D< OneFactorModel::ShortRateTree >, TreeLattice2D< Impl, T >, and TreeLattice2D< TwoFactorModel::ShortRateTree, TrinomialTree >.

Member Data Documentation

t_

TimeGrid t_

protected

Definition at line 95 of file numericalmethod.hpp.