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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file bsmlattice.hpp
    \brief Binomial trees under the BSM model

#ifndef quantlib_lattices_bsm_lattice_h
#define quantlib_lattices_bsm_lattice_h

#include <ql/Lattices/tree.hpp>
#include <ql/Lattices/lattice.hpp>

namespace QuantLib {

    //! Simple binomial lattice approximating the Black-Scholes model
    /*! \ingroup lattices */
00034     class BlackScholesLattice : public Lattice {
        BlackScholesLattice(const boost::shared_ptr<Tree>& tree,
                            Rate riskFreeRate,
                            Time end,
                            Size steps);

        Size size(Size i) const { return tree_->size(i); }
00042         DiscountFactor discount(Size, Size) const { return discount_; }

        const boost::shared_ptr<Tree>& tree() const { return tree_; }
        void stepback(Size i, const Array& values, Array& newValues) const;

00048         Size descendant(Size i, Size index, Size branch) const {
            return tree_->descendant(i, index, branch);
        Real probability(Size i, Size index, Size branch) const {
            return tree_->probability(i, index, branch);
        boost::shared_ptr<Tree> tree_;
        DiscountFactor discount_;
        Real pd_, pu_;



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