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QuantLib_BlackScholesLattice

NAME

QuantLib::BlackScholesLattice -

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_

Detailed Description

template<class T> class QuantLib::BlackScholesLattice< T >

Simple binomial lattice approximating the Black-Scholes model.

Author

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