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StandardBrownianNode Class Reference

#include <Node.h>

List of all members.

Detailed Description

Nodes in a stochastic lattice for a standard Brownian motion Z. Emphasis is on smallest possible memory footprint. Nodes only store the array of edges and the state k of the Brownian motion

as a integer multiples of the tick size a. Nodes don't need to know anything else, not at which time they live nor even which lattice they live in. The lattice knows that and all else such as the transition probabilities. This avoids storing the same data in each of the million nodes in the lattice.

Definition at line 69 of file Node.h.

Public Member Functions

int * getIntegerTicks ()
Real getValue () const
void setValue (Real x)
Array1D< StandardBrownianNode * > & getEdges ()
 StandardBrownianNode (int nEdge, const IntArray1D &k)
virtual ~StandardBrownianNode ()
std::ostream & printSelf (std::ostream &os)

Protected Attributes

int * k_
Real value
Array1D< StandardBrownianNode * > edges

Constructor & Destructor Documentation

StandardBrownianNode::StandardBrownianNode int    nEdge,
const IntArray1D   k

nEdge number of edges orginating from this node.

Definition at line 100 of file Node.h.

virtual StandardBrownianNode::~StandardBrownianNode   [inline, virtual]

Definition at line 108 of file Node.h.

Member Function Documentation

int* StandardBrownianNode::getIntegerTicks   [inline]

The state Z_j=k[j]*a, a=sqrt(dt).

Definition at line 85 of file Node.h.

Real StandardBrownianNode::getValue   const [inline]

Get the (option) value at this node.

Definition at line 88 of file Node.h.

References Real.

void StandardBrownianNode::setValue Real    x [inline]

SWet the (option) value at this node.

Definition at line 90 of file Node.h.

Array1D<StandardBrownianNode*>& StandardBrownianNode::getEdges   [inline]

List of edges

Definition at line 93 of file Node.h.

std::ostream& StandardBrownianNode::printSelf std::ostream &    os [inline]

Diagnostic. Prints the time t, vector H and field pi.

Definition at line 112 of file Node.h.

Member Data Documentation

int* StandardBrownianNode::k_ [protected]

the state Z_j=k[j]*a, a=sqrt(dt).

Definition at line 74 of file Node.h.

Real StandardBrownianNode::value [protected]

Cache for option value at this node.

Definition at line 77 of file Node.h.

Array1D<StandardBrownianNode*> StandardBrownianNode::edges [protected]

List of edges originating at this node.

Definition at line 80 of file Node.h.

The documentation for this class was generated from the following file:
Generated on Mon Sep 22 02:16:33 2003 for Libor-Library by doxygen1.3-rc3