- QuantLib
- BlackScholesLattice
Simple binomial lattice approximating the Black-Scholes model. More...
#include <ql/methods/lattices/bsmlattice.hpp>

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_ |
Simple binomial lattice approximating the Black-Scholes model.