One-dimensional tree-based lattice. More...
#include <ql/methods/lattices/lattice1d.hpp>
Inheritance diagram for TreeLattice1D< Impl >:Public Member Functions | |
| TreeLattice1D (const TimeGrid &timeGrid, Size n) | |
| Disposable< Array > | grid (Time t) const |
| Real | underlying (Size i, Size index) const |
Public Member Functions inherited from TreeLattice< Impl > | |
| TreeLattice (const TimeGrid &timeGrid, Size n) | |
| const Array & | statePrices (Size i) const |
| void | stepback (Size i, const Array &values, Array &newValues) const |
| 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. | |
Public Member Functions inherited from Lattice | |
| Lattice (const TimeGrid &timeGrid) | |
| const TimeGrid & | timeGrid () const |
Additional Inherited Members | |
Protected Member Functions inherited from TreeLattice< Impl > | |
| void | computeStatePrices (Size until) const |
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl > | |
| Impl & | impl () |
| const Impl & | impl () const |
Protected Attributes inherited from TreeLattice< Impl > | |
| std::vector< Array > | statePrices_ |
Protected Attributes inherited from Lattice | |
| TimeGrid | t_ |