/src/quantlib/ql/methods/lattices/tree.hpp
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1 | | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
2 | | |
3 | | /* |
4 | | Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
5 | | Copyright (C) 2005 StatPro Italia srl |
6 | | |
7 | | This file is part of QuantLib, a free-software/open-source library |
8 | | for financial quantitative analysts and developers - http://quantlib.org/ |
9 | | |
10 | | QuantLib is free software: you can redistribute it and/or modify it |
11 | | under the terms of the QuantLib license. You should have received a |
12 | | copy of the license along with this program; if not, please email |
13 | | <quantlib-dev@lists.sf.net>. The license is also available online at |
14 | | <https://www.quantlib.org/license.shtml>. |
15 | | |
16 | | This program is distributed in the hope that it will be useful, but WITHOUT |
17 | | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
18 | | FOR A PARTICULAR PURPOSE. See the license for more details. |
19 | | */ |
20 | | |
21 | | /*! \file tree.hpp |
22 | | \brief Tree class |
23 | | */ |
24 | | |
25 | | #ifndef quantlib_tree_hpp |
26 | | #define quantlib_tree_hpp |
27 | | |
28 | | #include <ql/types.hpp> |
29 | | #include <ql/patterns/curiouslyrecurring.hpp> |
30 | | |
31 | | namespace QuantLib { |
32 | | |
33 | | //! %Tree approximating a single-factor diffusion |
34 | | /*! Derived classes must implement the following interface: |
35 | | \code |
36 | | public: |
37 | | Real underlying(Size i, Size index) const; |
38 | | Size size(Size i) const; |
39 | | Size descendant(Size i, Size index, Size branch) const; |
40 | | Real probability(Size i, Size index, Size branch) const; |
41 | | \endcode |
42 | | and provide a public enumeration |
43 | | \code |
44 | | enum { branches = N }; |
45 | | \endcode |
46 | | where N is a suitable constant (2 for binomial, 3 for trinomial...) |
47 | | |
48 | | \ingroup lattices |
49 | | */ |
50 | | template <class T> |
51 | | class Tree : public CuriouslyRecurringTemplate<T> { |
52 | | public: |
53 | 0 | explicit Tree(Size columns) : columns_(columns) {}Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedJarrowRudd>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedCoxRossRubinstein>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedAdditiveEQPBinomialTree>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedTrigeorgis>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedTian>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedLeisenReimer>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::ExtendedJoshi4>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::JarrowRudd>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::CoxRossRubinstein>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::AdditiveEQPBinomialTree>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::Trigeorgis>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::Tian>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::LeisenReimer>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::Joshi4>::Tree(unsigned long) Unexecuted instantiation: QuantLib::Tree<QuantLib::TrinomialTree>::Tree(unsigned long) |
54 | | Size columns() const { return columns_; } |
55 | | private: |
56 | | Size columns_; |
57 | | }; |
58 | | |
59 | | } |
60 | | |
61 | | |
62 | | #endif |