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Node.h File Reference

Detailed Description

Nodes in a stochastic lattice. There is no common interface for all node types. The node type is a template parameter for the lattice the nodes live in and can be recovered from the type of lattice as LatticeType::NodeType. The type of lattice is handed to the pricing function Pricing#latticeForwardPrice as a template parameter. Consequently no interface to all node types is needed for lattice pricing.

Emphasis is on smallest possible memory footprint. The lattice handles everything except the information specific to each node. Nodes do not have to know which lattice they live in nor at which time step within the lattice. Only one type of node is implemented: StandardBrownianNode.

Definition in file Node.h.

#include "TypedefsMacros.h"
#include "Array.h"

Go to the source code of this file.


class  StandardBrownianNode

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