/src/quantlib/ql/methods/lattices/lattice1d.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2005 StatPro Italia srl |
5 | | |
6 | | This file is part of QuantLib, a free-software/open-source library |
7 | | for financial quantitative analysts and developers - http://quantlib.org/ |
8 | | |
9 | | QuantLib is free software: you can redistribute it and/or modify it |
10 | | under the terms of the QuantLib license. You should have received a |
11 | | copy of the license along with this program; if not, please email |
12 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
13 | | <http://quantlib.org/license.shtml>. |
14 | | |
15 | | This program is distributed in the hope that it will be useful, but WITHOUT |
16 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
17 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
18 | | */ |
19 | | |
20 | | /*! \file lattice1d.hpp |
21 | | \brief One-dimensional lattice class |
22 | | */ |
23 | | |
24 | | #ifndef quantlib_tree_lattice_1d_hpp |
25 | | #define quantlib_tree_lattice_1d_hpp |
26 | | |
27 | | #include <ql/methods/lattices/lattice.hpp> |
28 | | |
29 | | namespace QuantLib { |
30 | | |
31 | | //! One-dimensional tree-based lattice. |
32 | | /*! Derived classes must implement the following interface: |
33 | | \code |
34 | | Real underlying(Size i, Size index) const; |
35 | | \endcode |
36 | | |
37 | | \ingroup lattices */ |
38 | | template <class Impl> |
39 | | class TreeLattice1D : public TreeLattice<Impl> { |
40 | | public: |
41 | | TreeLattice1D(const TimeGrid& timeGrid, Size n) |
42 | 0 | : TreeLattice<Impl>(timeGrid,n) {} |
43 | 0 | Array grid(Time t) const override { |
44 | 0 | Size i = this->timeGrid().index(t); |
45 | 0 | Array grid(this->impl().size(i)); |
46 | 0 | for (Size j=0; j<grid.size(); j++) |
47 | 0 | grid[j] = this->impl().underlying(i,j); |
48 | 0 | return grid; |
49 | 0 | } |
50 | | Real underlying(Size i, Size index) const { |
51 | | return this->impl().underlying(i,index); |
52 | | } |
53 | | }; |
54 | | |
55 | | } |
56 | | |
57 | | |
58 | | #endif |