QuantLib_ExtendedBinomialTree man page

ExtendedBinomialTree< T > — Binomial tree base class.

Synopsis

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inherits Tree< T >.

Inherited by ExtendedEqualJumpsBinomialTree< T >, and ExtendedEqualProbabilitiesBinomialTree< T >.

Public Types

enum Branches { branches = 2 }

Public Member Functions

ExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)

Size size (Size i) const

Size descendant (Size, Size index, Size branch) const

Protected Member Functions

Real driftStep (Time driftTime) const

Protected Attributes

Real x0_

Real driftPerStep_

Time dt_

boost::shared_ptr< StochasticProcess1D > treeProcess_

Detailed Description

template<class T>

class QuantLib::ExtendedBinomialTree< T >" Binomial tree base class.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

driftStep(3), ExtendedBinomialTree(3) and treeProcess_(3) are aliases of QuantLib_ExtendedBinomialTree(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib