QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

BlackScholesLattice Class Reference #include <bsmlattice.hpp> Inheritance diagram for BlackScholesLattice: [legend]List of all members. Detailed Description Simple binomial lattice approximating the Black-Scholes model. Public Member Functions   BlackScholesLattice (const Handle< Tree > &tree, Rate riskFreeRate, Time end, Size steps) Size  size (Size i) const DiscountFactor  discount (Size i, Size j) const   Discount factor at time t_i and node indexed by index. const Handle< Tree > &  tree () const Protected Member Functions void  stepback (Size i, const Array &values, Array &newValues) const Size  descendant (Size i, Size index, Size branch) const   Tree properties. double  probability (Size i, Size index, Size branch) const The documentation for this class was generated from the following files: ql/Lattices/bsmlattice.hpp ql/Lattices/bsmlattice.cpp

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