org.jquantlib.methods.lattices

Class TreeLattice

java.lang.Object

org.jquantlib.methods.lattices.Lattice

org.jquantlib.methods.lattices.TreeLattice

Direct Known Subclasses:

TreeLattice1D, TreeLattice2D

public abstract class TreeLattice
extends Lattice

Tree-based lattice-method base class

This class defines a lattice method that is able to rollback (with discount) a discretized asset object. It will be based on one or more trees.

Constructor Summary

Constructors

Constructor and Description
TreeLattice(TimeGrid t, int n)

Method Summary

Modifier and Type	Method and Description
abstract int	descendant(int i, int index, int branch)
abstract double	discount(int i, int index)
void	initialize(DiscretizedAsset asset, double ti) initialize an asset at the given time.
void	partialRollback(DiscretizedAsset asset, double to) Roll back an asset until the given time, but do not perform the final adjustment.
double	presentValue(DiscretizedAsset asset) Computes the present value of an asset using Arrow-Debrew prices
abstract double	probability(int i, int index, int branch)
void	rollback(DiscretizedAsset asset, double to) Roll back an asset until the given time, performing any needed adjustment.
abstract int	size(int i)
Array	statePrices(int i)
void	stepback(int i, Array values, Array newValues)

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

grid, timeGrid

Methods inherited from class java.lang.Object

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

Constructor Detail

TreeLattice

public TreeLattice(TimeGrid t,
                   int n)

Method Detail

discount

public abstract double discount(int i,
                                int index)

descendant

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

probability

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

size

public abstract int size(int i)

statePrices

public Array statePrices(int i)

stepback

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

presentValue

public double presentValue(DiscretizedAsset asset)

Computes the present value of an asset using Arrow-Debrew prices

Specified by:

presentValue in class Lattice

initialize

public void initialize(DiscretizedAsset asset,
                       double ti)

Description copied from class: Lattice

initialize an asset at the given time.

Specified by:

initialize in class Lattice

rollback

public void rollback(DiscretizedAsset asset,
                     double to)

Description copied from class: Lattice

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

Specified by:

rollback in class Lattice

partialRollback

public void partialRollback(DiscretizedAsset asset,
                            double to)

Description copied from class: Lattice

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

Specified by:

partialRollback in class Lattice