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Lattice (tree, finite-differences) base class

Hierarchy

  • Lattice

Implemented by

Index

Properties

_t

Methods

grid

  • Parameters

    Returns Real[]

init

  • Parameters

    Returns Lattice

initialize

  • initialize an asset at the given time.

    Parameters

    Returns void

partialRollback

  • Roll back an asset until the given time, but do not perform the final adjustment.

    warning In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:

    method.rollAlmostBack(asset, t);

    with the two statements:

    method.partialRollback(asset,t);
    asset.preAdjustValues();

    Parameters

    Returns void

presentValue

  • computes the present value of an asset.

    Parameters

    Returns Real

rollback

  • Roll back an asset until the given time, performing any needed adjustment.

    Parameters

    Returns void

timeGrid

  • Returns TimeGrid