computeStatePrices (3) - Linux Man Pages

computeStatePrices: Tree-based lattice-method base class.

NAME

QuantLib::TreeLattice - Tree-based lattice-method base class.

SYNOPSIS


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

Inherits QuantLib::Lattice, and CuriouslyRecurringTemplate< Impl >.

Public Member Functions


TreeLattice (const TimeGrid &timeGrid, Size n)

const Array & statePrices (Size i) const

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

Lattice interface


void initialize (DiscretizedAsset &, Time t) const
initialize an asset at the given time.
void rollback (DiscretizedAsset &, Time to) const

void partialRollback (DiscretizedAsset &, Time to) const

Real presentValue (DiscretizedAsset &) const
Computes the present value of an asset using Arrow-Debrew prices.

Protected Member Functions


void computeStatePrices (Size until) const

Protected Attributes


std::vector< Array > statePrices_

Detailed Description

template<class Impl> class QuantLib::TreeLattice< Impl >

Tree-based lattice-method base class.

This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will be based on one or more trees.

Derived classes must implement the following interface:

        public:
          DiscountFactor discount(Size i, Size index) const;
          Size descendant(Size i, Size index, Size branch) const;
          Real probability(Size i, Size index, Size branch) const;


 and may implement the following: 

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


 

Member Function Documentation

void rollback (DiscretizedAsset &, Time to) const [virtual]

Roll back an asset until the given time, performing any needed adjustment.

Implements Lattice.

Reimplemented in TsiveriotisFernandesLattice< T >.

void partialRollback (DiscretizedAsset &, Time to) const [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);


 with the two statements: 

                     method->partialRollback(asset,t);
                     asset->preAdjustValues();


 

Implements Lattice.

Reimplemented in TsiveriotisFernandesLattice< T >.

Author

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