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);
}
/*public override void update()
* {
* if (!timeGrid_.empty())
* lattice_ = this.model_.tree(timeGrid_);
* this.notifyObservers();
* }*/
#region PricingEngine
/* protected OneAssetOption.Arguments arguments_ = new OneAssetOption.Arguments();
* protected OneAssetOption.Results results_ = new OneAssetOption.Results();
*
* public IPricingEngineArguments getArguments() { return arguments_; }
* public IPricingEngineResults getResults() { return results_; }
* public void reset() { results_.reset(); }
*/
#region Observer & Observable
public override void update()
{
if (!timeGrid_.empty())
{
lattice_ = this.model_.tree(timeGrid_);
}
base.update();
}
/*! \name 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);
}
/*! \name 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);
}
