stepback (3) - Linux Manuals

stepback: Simple binomial lattice approximating the Black-Scholes model.

NAME

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

SYNOPSIS

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

Inherits TreeLattice1D< BlackScholesLattice< T > >.

Public Member Functions

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

Detailed Description

template<class T> class QuantLib::BlackScholesLattice< T >

Simple binomial lattice approximating the Black-Scholes model.

Author

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