QuantLib_ExtendedEqualJumpsBinomialTree man page

ExtendedEqualJumpsBinomialTree< T > — Base class for equal jumps binomial tree.


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

Inherits ExtendedBinomialTree< T >.

Public Member Functions

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

Real underlying (Size i, Size index) const

Real probability (Size i, Size, Size branch) const

Protected Member Functions

virtual Real probUp (Time stepTime) const =0

virtual Real dxStep (Time stepTime) const =0

Protected Attributes

Real dx_

Real pu_

Real pd_

Additional Inherited Members

Detailed Description

template<class T>

class QuantLib::ExtendedEqualJumpsBinomialTree< T >" Base class for equal jumps binomial tree.


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Referenced By

ExtendedEqualJumpsBinomialTree(3) is an alias of QuantLib_ExtendedEqualJumpsBinomialTree(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib