QuantLib_LeisenReimer man page

LeisenReimer — Leisen & Reimer tree: multiplicative approach.


#include <ql/methods/lattices/binomialtree.hpp>

Inherits BinomialTree< LeisenReimer >.

Public Member Functions

LeisenReimer (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

Real up_

Real down_

Real pu_

Real pd_

Additional Inherited Members

Detailed Description

Leisen & Reimer tree: multiplicative approach.


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Referenced By

LeisenReimer(3) is an alias of QuantLib_LeisenReimer(3).

QuantLib Version 1.8.1 Fri Sep 23 2016