| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
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| 5 | Copyright (C) 2004, 2005 StatPro Italia srl |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file numericalmethod.hpp |
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| 22 | \brief Numerical method class |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_lattice_hpp |
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| 26 | #define quantlib_lattice_hpp |
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| 27 | |
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| 28 | #include <ql/math/array.hpp> |
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| 29 | #include <ql/timegrid.hpp> |
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| 30 | #include <utility> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | class DiscretizedAsset; |
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| 35 | |
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| 36 | //! %Lattice (tree, finite-differences) base class |
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| 37 | class Lattice { |
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| 38 | public: |
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| 39 | explicit Lattice(TimeGrid timeGrid) : t_(std::move(timeGrid)) {} |
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| 40 | virtual ~Lattice() = default; |
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| 41 | |
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| 42 | //!\name Inspectors |
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| 43 | //{ |
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| 44 | const TimeGrid& timeGrid() const { return t_; } |
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| 45 | //@} |
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| 46 | |
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| 47 | /*! \name Numerical method interface |
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| 48 | |
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| 49 | These methods are to be used by discretized assets and |
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| 50 | must be overridden by developers implementing numerical |
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| 51 | methods. Users are advised to use the corresponding |
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| 52 | methods of DiscretizedAsset instead. |
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| 53 | |
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| 54 | @{ |
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| 55 | */ |
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| 56 | |
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| 57 | //! initialize an asset at the given time. |
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| 58 | virtual void initialize(DiscretizedAsset&, |
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| 59 | Time time) const = 0; |
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| 60 | |
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| 61 | /*! Roll back an asset until the given time, performing any |
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| 62 | needed adjustment. |
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| 63 | */ |
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| 64 | virtual void rollback(DiscretizedAsset&, |
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| 65 | Time to) const = 0; |
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| 66 | |
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| 67 | /*! Roll back an asset until the given time, but do not perform |
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| 68 | the final adjustment. |
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| 69 | |
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| 70 | \warning In version 0.3.7 and earlier, this method was |
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| 71 | called rollAlmostBack method and performed |
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| 72 | pre-adjustment. This is no longer true; when |
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| 73 | migrating your code, you'll have to replace calls |
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| 74 | such as: |
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| 75 | \code |
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| 76 | method->rollAlmostBack(asset,t); |
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| 77 | \endcode |
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| 78 | with the two statements: |
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| 79 | \code |
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| 80 | method->partialRollback(asset,t); |
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| 81 | asset->preAdjustValues(); |
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| 82 | \endcode |
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| 83 | */ |
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| 84 | virtual void partialRollback(DiscretizedAsset&, |
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| 85 | Time to) const = 0; |
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| 86 | |
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| 87 | //! computes the present value of an asset. |
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| 88 | virtual Real presentValue(DiscretizedAsset&) const = 0; |
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| 89 | |
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| 90 | //@} |
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| 91 | |
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| 92 | // this is a smell, but we need it. We'll rethink it later. |
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| 93 | virtual Array grid(Time) const = 0; |
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| 94 | protected: |
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| 95 | TimeGrid t_; |
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| 96 | }; |
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| 97 | |
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| 98 | } |
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| 99 | |
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| 100 | |
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| 101 | #endif |
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| 102 | |
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