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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;

Type parameters

Hierarchy

Implements

Index

Properties

Private _n

_n: Size

Protected _statePrices

_statePrices: Real[][]

Private _statePricesLimit

_statePricesLimit: Size

_t

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
  • Parameters

    Returns void

grid

initialize

partialRollback

presentValue

rollback

statePrices

stepback

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

tlInit