public override void update()
{
if (!timeGrid_.empty())
{
lattice_ = this.model_.link.tree(timeGrid_);
}
notifyObservers();
}
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);
}
/* 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);
}