コード例 #1
0
 public override void update()
 {
     if (!timeGrid_.empty())
     {
         lattice_ = this.model_.link.tree(timeGrid_);
     }
     notifyObservers();
 }
コード例 #2
0
 public LatticeShortRateModelEngine(ShortRateModel model,
                                    TimeGrid timeGrid)
     : base(model)
 {
     timeGrid_  = new TimeGrid(timeGrid.Last(), timeGrid.size() - 1 /*timeGrid.dt(1) - timeGrid.dt(0)*/);
     timeGrid_  = timeGrid;
     timeSteps_ = 0;
     lattice_   = this.model_.link.tree(timeGrid);
 }
コード例 #3
0
        /* High-level interface
         *
         *          Users of discretized assets should use these methods in
         *          order to initialize, evolve and take the present value of
         *          the assets.  They call the corresponding methods in the
         *          Lattice interface, to which we refer for
         *          documentation.
         *
         */

        public void initialize(Lattice method, double t)
        {
            method_ = method;
            method_.initialize(this, t);
        }