- QuantLib
- Lattice
 
Lattice (tree, finite-differences) base class More...
#include <ql/numericalmethod.hpp>

| 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
| 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< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TsiveriotisFernandesLattice< T >.
| virtual void partialRollback | ( | DiscretizedAsset & | , | 
| Time | to | ||
| ) | const  [pure virtual] | 
Roll back an asset until the given time, but do not perform the final adjustment.
method->rollAlmostBack(asset,t);
with the two statements:
                     method->partialRollback(asset,t);
                     asset->preAdjustValues();
Implemented in TreeLattice< Impl >, TreeLattice< OneFactorModel::ShortRateTree >, TreeLattice< TwoFactorModel::ShortRateTree >, TreeLattice< BlackScholesLattice< T > >, and TsiveriotisFernandesLattice< T >.