Simple binomial lattice approximating the Black-Scholes model. More...
#include <ql/methods/lattices/bsmlattice.hpp>
 Inheritance diagram for BlackScholesLattice< T >:
 Inheritance diagram for BlackScholesLattice< T >:| Public Member Functions | |
| BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps) | |
| Rate | riskFreeRate () const | 
| Time | dt () const | 
| Size | size (Size i) const | 
| DiscountFactor | discount (Size, Size) const | 
| void | stepback (Size i, const Array &values, Array &newValues) const | 
| Real | underlying (Size i, Size index) const | 
| Size | descendant (Size i, Size index, Size branch) const | 
| Real | probability (Size i, Size index, Size branch) const | 
|  Public Member Functions inherited from TreeLattice1D< BlackScholesLattice< T > > | |
| TreeLattice1D (const TimeGrid &timeGrid, Size n) | |
| Disposable< Array > | grid (Time t) const | 
| Real | underlying (Size i, Size index) const | 
|  Public Member Functions inherited from TreeLattice< BlackScholesLattice< T > > | |
| TreeLattice (const TimeGrid &timeGrid, Size n) | |
| const Array & | statePrices (Size i) const | 
| void | stepback (Size i, const Array &values, Array &newValues) const | 
| void | initialize (DiscretizedAsset &, Time t) const | 
| initialize an asset at the given time. | |
| void | rollback (DiscretizedAsset &, Time to) const | 
| void | partialRollback (DiscretizedAsset &, Time to) const | 
| Real | presentValue (DiscretizedAsset &) const | 
| Computes the present value of an asset using Arrow-Debrew prices. | |
|  Public Member Functions inherited from Lattice | |
| Lattice (const TimeGrid &timeGrid) | |
| const TimeGrid & | timeGrid () const | 
| Protected Attributes | |
| boost::shared_ptr< T > | tree_ | 
| Rate | riskFreeRate_ | 
| Time | dt_ | 
| DiscountFactor | discount_ | 
| Real | pd_ | 
| Real | pu_ | 
|  Protected Attributes inherited from TreeLattice< BlackScholesLattice< T > > | |
| std::vector< Array > | statePrices_ | 
|  Protected Attributes inherited from Lattice | |
| TimeGrid | t_ | 
| Additional Inherited Members | |
|  Protected Member Functions inherited from TreeLattice< BlackScholesLattice< T > > | |
| void | computeStatePrices (Size until) const | 
|  Protected Member Functions inherited from CuriouslyRecurringTemplate< BlackScholesLattice< T > > | |
| BlackScholesLattice< T > & | impl () | 
| const BlackScholesLattice< T > & | impl () const | 
Simple binomial lattice approximating the Black-Scholes model.