Trait DiscretizedAsset

pub trait DiscretizedAsset<R: Scalar> {
    // Required methods
    fn last_step(&self) -> usize;
    fn adjust_values(
        &self,
        step: usize,
        lattice: &HullWhiteLattice<R>,
        values: &mut [R],
    );
}

Expand description

A product valued by backward induction on a HullWhiteLattice. The lattice rolls it back; the asset injects its cashflows and exercise at each slice, in the pricing mode.

Required Methods§

fn last_step(&self) -> usize

The last (latest) step index where the asset has value — rollback starts here.

fn adjust_values( &self, step: usize, lattice: &HullWhiteLattice<R>, values: &mut [R], )

Adjust the slice values at step: inject cashflows, apply exercise. Called once at the terminal step (with zero-initialised values) to set the terminal payoff, then after each rollback step. values is indexed by node offset (0 ⇒ j = −half_width).

Takes &self: the asset is contract data the rollback reads, so a solver that re-rolls the same asset at many spreads shares one copy.