QuantLib 0.3.11 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

NumericalMethod Class Reference #include <ql/numericalmethod.hpp> Inheritance diagram for NumericalMethod: [legend]List of all members. Detailed Description Numerical method (tree, finite-differences) base class. Public Member Functions   NumericalMethod (const TimeGrid &timeGrid) virtual Disposable< Array >  grid (Time) const =0 Inspectors const TimeGrid &  timeGrid () const Numerical method interface These methods are to be used by discretized assets and must be overridden by developers implementing numerical methods. Users are advised to use the corresponding methods of DiscretizedAsset instead. virtual void  initialize (DiscretizedAsset &, Time time) const =0   initialize an asset at the given time. virtual void  rollback (DiscretizedAsset &, Time to) const =0 virtual void  partialRollback (DiscretizedAsset &, Time to) const =0 virtual Real  presentValue (DiscretizedAsset &) const =0   computes the present value of an asset. Protected Attributes TimeGrid  t_ Member Function Documentation virtual void rollback (  DiscretizedAsset &  , Time  to )  const [pure virtual]   Roll back an asset until the given time, performing any needed adjustment. Implemented in Lattice, Lattice< OneFactorModel::ShortRateTree >, Lattice< TwoFactorModel::ShortRateTree >, and Lattice< BlackScholesLattice< T > >. virtual void partialRollback (  DiscretizedAsset &  , Time  to )  const [pure virtual]   Roll back an asset until the given time, but do not perform the final adjustment. Warning: In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as: method->rollAlmostBack(asset,t); with the two statements: method->partialRollback(asset,t); asset->preAdjustValues(); Implemented in Lattice, Lattice< OneFactorModel::ShortRateTree >, Lattice< TwoFactorModel::ShortRateTree >, and Lattice< BlackScholesLattice< T > >.

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