Lattice Class Reference
Lattice (tree, finite-differences) base class More...
#include <ql/numericalmethod.hpp>
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_ |
Detailed Description
Lattice (tree, finite-differences) base classMember Function Documentation
| virtual void rollback | ( | DiscretizedAsset & | , | |
| Time | to | |||
| ) | const [pure virtual] |
Roll back an asset until the given time, performing any needed adjustment.
Implemented in TsiveriotisFernandesLattice, and TreeLattice.
| 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);
method->partialRollback(asset,t);
asset->preAdjustValues();
Implemented in TsiveriotisFernandesLattice, and TreeLattice.