BlackScholesLattice (3) Linux Manual Page

QuantLib::BlackScholesLattice – Simple binomial lattice approximating the Black-Scholes model.

Synopsis

#include <ql/methods/lattices/bsmlattice.hpp>

Inherits TreeLattice1D< BlackScholesLattice< T > >.

BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)

Size size (Size i) const

DiscountFactor discount (Size, Size) const

void stepback (Size i, const Array &values, Array &newValues) const

Real underlying (Size i, Size index) const

Size descendant (Size i, Size index, Size branch) const

Real probability (Size i, Size index, Size branch) const

Simple binomial lattice approximating the Black-Scholes model.

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