QuantLib_ExtendedLeisenReimer man page

ExtendedLeisenReimer — Leisen & Reimer tree: multiplicative approach.


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

Inherits ExtendedBinomialTree< ExtendedLeisenReimer >.

Public Member Functions

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

Real underlying (Size i, Size index) const

Real probability (Size, Size, Size branch) const

Protected Attributes

Time end_

Size oddSteps_

Real strike_

Real up_

Real down_

Real pu_

Real pd_

Additional Inherited Members

Detailed Description

Leisen & Reimer tree: multiplicative approach.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

down_(3), end_(3), ExtendedLeisenReimer(3) and oddSteps_(3) are aliases of QuantLib_ExtendedLeisenReimer(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib