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QuantLib::Lattice Class Reference

#include <numericalmethod.hpp>

Inheritance diagram for QuantLib::Lattice:

QuantLib::TreeLattice< Impl > QuantLib::TreeLattice< QuantLib::BlackScholesLattice< T > > QuantLib::TreeLattice< QuantLib::OneFactorModel::ShortRateTree > QuantLib::TreeLattice< QuantLib::TwoFactorModel::ShortRateTree > QuantLib::TreeLattice1D< Impl > QuantLib::TreeLattice2D< Impl, T > QuantLib::TreeLattice1D< QuantLib::BlackScholesLattice< T > > QuantLib::TreeLattice1D< QuantLib::OneFactorModel::ShortRateTree > QuantLib::TreeLattice2D< QuantLib::TwoFactorModel::ShortRateTree, QuantLib::TrinomialTree > QuantLib::BlackScholesLattice< T > QuantLib::OneFactorModel::ShortRateTree QuantLib::TwoFactorModel::ShortRateTree QuantLib::TsiveriotisFernandesLattice< T >

List of all members.

Detailed Description

Lattice (tree, finite-differences) base class

Definition at line 36 of file numericalmethod.hpp.

Public Member Functions

virtual Disposable< Arraygrid (Time) const =0
 Lattice (const TimeGrid &timeGrid)
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 partialRollback (DiscretizedAsset &, Time to) const =0
virtual Real presentValue (DiscretizedAsset &) const =0
 computes the present value of an asset.
virtual void rollback (DiscretizedAsset &, Time to) const =0
const TimeGridtimeGrid () const

Protected Attributes

TimeGrid t_

The documentation for this class was generated from the following file:

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