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Public Member Functions | Protected Attributes

QuantLib::Lattice Class Reference

Lattice (tree, finite-differences) base class More...

#include <numericalmethod.hpp>

Inheritance diagram for QuantLib::Lattice:
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Collaboration diagram for QuantLib::Lattice:
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List of all members.

Public Member Functions

virtual Disposable< Arraygrid (Time) const =0
 Lattice (const TimeGrid &timeGrid)
const TimeGridtimeGrid () 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 class

Definition at line 36 of file numericalmethod.hpp.

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

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