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Class TreeLattice1D<Impl>

One-dimensional tree-based lattice.

Derived classes must implement the following interface:

Real underlying(Size i, Size index) const;

Type parameters

Hierarchy

Implements

Index

Properties

Methods

Properties

Protected _statePrices

_statePrices: Real[][]

_t

_t: TimeGrid

impl

impl: () => any

Type declaration

    • (): any

    • Returns any

init

init: (timeGrid: TimeGrid) => Lattice

Type declaration

timeGrid

timeGrid: () => TimeGrid

Type declaration

Methods

Protected computeStatePrices

  • computeStatePrices(until: Size): void

grid

init1D

initialize

partialRollback

presentValue

rollback

statePrices

stepback

  • stepback(i: Size, values: Real[], newValues: Real[]): void

tlInit

underlying

  • Parameters

    Returns Real