QuantLib_ExtendedCoxRossRubinstein man page

ExtendedCoxRossRubinstein — Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.


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

Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >.

Public Member Functions

ExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)

Protected Member Functions

Real dxStep (Time stepTime) const

Real probUp (Time stepTime) const

Additional Inherited Members

Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

dxStep(3), ExtendedCoxRossRubinstein(3) and probUp(3) are aliases of QuantLib_ExtendedCoxRossRubinstein(3).

QuantLib Version 1.8.1 Fri Sep 23 2016