Lattice (tree, finite-differences) base class More...
#include <ql/numericalmethod.hpp>
 Inheritance diagram for Lattice:
 Inheritance diagram for Lattice:| Public Member Functions | |
| Lattice (const TimeGrid &timeGrid) | |
| virtual Disposable< Array > | grid (Time) const =0 | 
| 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. | |
| virtual void | initialize (DiscretizedAsset &, Time time) const =0 | 
| initialize an asset at the given time. | |
| 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. | |
| Protected Attributes | |
| TimeGrid | t_ | 
Lattice (tree, finite-differences) base class
| 
 | pure virtual | 
Roll back an asset until the given time, performing any needed adjustment.
Implemented in TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TsiveriotisFernandesLattice< T >.
| 
 | pure virtual | 
Roll back an asset until the given time, but do not perform the final adjustment.
with the two statements:
Implemented in TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TsiveriotisFernandesLattice< T >.