One-dimensional tree-based lattice. More...
#include <lattice1d.hpp>
Inheritance diagram for TreeLattice1D< Impl >:
Collaboration 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. More... | |
| 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. More... | |
| 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) | |
| virtual | ~Lattice ()=default |
| const TimeGrid & | timeGrid () const |
Additional Inherited Members | |
| Protected Member Functions inherited from TreeLattice< Impl > | |
| void | computeStatePrices (Size until) const |
| Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl > | |
| CuriouslyRecurringTemplate ()=default | |
| ~CuriouslyRecurringTemplate ()=default | |
| Impl & | impl () |
| const Impl & | impl () const |
| Protected Attributes inherited from TreeLattice< Impl > | |
| std::vector< Array > | statePrices_ |
| Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |
Detailed Description
template<class Impl>
class QuantLib::TreeLattice1D< Impl >
class QuantLib::TreeLattice1D< Impl >
One-dimensional tree-based lattice.
Derived classes must implement the following interface:
Real underlying(Size i, Size index) const
Definition: lattice1d.hpp:50
Definition at line 39 of file lattice1d.hpp.
Constructor & Destructor Documentation
◆ TreeLattice1D()
| TreeLattice1D | ( | const TimeGrid & | timeGrid, |
| Size | n | ||
| ) |
Definition at line 41 of file lattice1d.hpp.
Member Function Documentation
◆ grid()
Implements Lattice.
Definition at line 43 of file lattice1d.hpp.
Here is the call graph for this function:
Here is the caller graph for this function:
