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, Sizeindex) const;
Size descendant(Size i, Sizeindex, Size branch) const;
Real probability(Size i, Sizeindex, Size branch) const;
and may implement the following:
public:
void stepback(Size i,
constArray& values,
Array& newValues) const;
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;