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LatticeBuilder Namespace Reference


Detailed Description

Lattice builders. Standalone functions to build lattices with m time steps for which the state variable is a standard Brownian motion Z in r dimensions (the number of factors). Assumes that the nodes store the state

in the integer vector k and have construtors of the form

Node(int e, int* k),
where e is the number of edges originating at this node, k is the integer vector storing the state of Z. Here dt is the size of the time step and the tick size of a standard Brownian motion over a time step of size dt. Code is limited to lattices built with StandardBrownianNodes.


Functions

template<typename LatticeType> void buildTwoFactorLattice (LatticeType *theLattice, int T, bool verbose=false)
template<typename LatticeType> void buildThreeFactorLattice (LatticeType *theLattice, int T, bool verbose=false)


Function Documentation

template<typename LatticeType>
void buildTwoFactorLattice LatticeType *    theLattice,
int    T,
bool    verbose = false
 

Builds a two factor lattice.

Parameters:
T number of time steps in the lattice.
theLattice lattice building itself.
verbose message during build.

Definition at line 242 of file Lattice.h.

template<typename LatticeType>
void buildThreeFactorLattice LatticeType *    theLattice,
int    T,
bool    verbose = false
 

Builds a three factor lattice.

Parameters:
T number of time steps in the lattice.
latticeData data object handed to nodes from lattice.
verbose message during build.

Definition at line 328 of file Lattice.h.


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