org.jquantlib.methods.lattices

Class Lattice

java.lang.Object

org.jquantlib.methods.lattices.Lattice

Direct Known Subclasses:

TreeLattice

public abstract class Lattice
extends java.lang.Object

Lattice (tree, finite-differences) base class

Constructor Summary

Constructors

Constructor and Description
Lattice(TimeGrid t)

Method Summary

Modifier and Type	Method and Description
abstract Array	grid(double t) This is smelly, but we need it.
abstract void	initialize(DiscretizedAsset asset, double time) initialize an asset at the given time.
abstract void	partialRollback(DiscretizedAsset asset, double to) Roll back an asset until the given time, but do not perform the final adjustment.
abstract double	presentValue(DiscretizedAsset asset) computes the present value of an asset.
abstract void	rollback(DiscretizedAsset asset, double to) Roll back an asset until the given time, performing any needed adjustment.
TimeGrid	timeGrid()

Methods inherited from class java.lang.Object

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

Constructor Detail

Lattice

public Lattice(TimeGrid t)

Method Detail

timeGrid

public TimeGrid timeGrid()

initialize

public abstract void initialize(DiscretizedAsset asset,
                                double time)

initialize an asset at the given time.

rollback

public abstract void rollback(DiscretizedAsset asset,
                              double to)

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

partialRollback

public abstract void partialRollback(DiscretizedAsset asset,
                                     double to)

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

presentValue

public abstract double presentValue(DiscretizedAsset asset)

computes the present value of an asset.

grid

public abstract Array grid(double t)

This is smelly, but we need it. We'll rethink it later.

Parameters:

t -

Returns: