org.jquantlib.methods.lattices

Class BlackScholesLattice<T extends Tree>

java.lang.Object

org.jquantlib.methods.lattices.Lattice

org.jquantlib.methods.lattices.TreeLattice

org.jquantlib.methods.lattices.TreeLattice1D

org.jquantlib.methods.lattices.BlackScholesLattice<T>

Direct Known Subclasses:

TsiveriotisFernandesLattice

public class BlackScholesLattice<T extends Tree>
extends TreeLattice1D

Simple binomial lattice approximating the Black-Scholes model

Constructor Summary

Constructors

Constructor and Description
BlackScholesLattice(T tree, double riskFreeRate, double end, int steps)

Method Summary

Modifier and Type	Method and Description
int	descendant(int i, int index, int branch)
double	discount(int a, int b)
double	probability(int i, int index, int branch)
int	size(int i)
void	stepback(int i, Array values, Array newValues)
double	underlying(int i, int index)

Methods inherited from class org.jquantlib.methods.lattices.TreeLattice1D

grid

Methods inherited from class org.jquantlib.methods.lattices.TreeLattice

initialize, partialRollback, presentValue, rollback, statePrices

Methods inherited from class org.jquantlib.methods.lattices.Lattice

timeGrid

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BlackScholesLattice

public BlackScholesLattice(T tree,
                           double riskFreeRate,
                           double end,
                           int steps)

Method Detail

size

public int size(int i)

Specified by:

size in class TreeLattice

discount

public double discount(int a,
                       int b)

Specified by:

discount in class TreeLattice

underlying

public double underlying(int i,
                         int index)

Specified by:

underlying in class TreeLattice1D

descendant

public int descendant(int i,
                      int index,
                      int branch)

Specified by:

descendant in class TreeLattice

probability

public double probability(int i,
                          int index,
                          int branch)

Specified by:

probability in class TreeLattice

stepback

public void stepback(int i,
                     Array values,
                     Array newValues)

Overrides:

stepback in class TreeLattice