BlackScholesLattice< T >

NAME

BlackScholesLattice< T > − Simple binomial lattice approximating the Black-Scholes model.

SYNOPSIS

#include <ql/methods/lattices/bsmlattice.hpp>

Inherits TreeLattice1D< BlackScholesLattice< T > >.

Inherited by TsiveriotisFernandesLattice< T >.

Public Member Functions

BlackScholesLattice (const boost::shared_ptr< T > &tree, Rate riskFreeRate, Time end, Size steps)
Rate riskFreeRate () const
Time dt () const
Size size (Size i) const
DiscountFactor discount (Size, Size) const
void stepback (Size i, const Array &values, Array &newValues) const
Real underlying (Size i, Size index) const
Size descendant (Size i, Size index, Size branch) const
Real probability (Size i, Size index, Size branch) const

Protected Attributes

boost::shared_ptr< T > tree_
Rate riskFreeRate_
Time dt_
DiscountFactor discount_
Real pd_
Real pu_

Additional Inherited Members

Detailed Description

template<class T>
class QuantLib::BlackScholesLattice< T >" Simple binomial lattice approximating the Black-Scholes model.

Author

Generated automatically by Doxygen for QuantLib from the source code.