QuantLib_Tree man page

Tree< T > — Tree approximating a single-factor diffusion

Synopsis

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

Inherits CuriouslyRecurringTemplate< T >.

Inherited by BinomialTree< T >, and ExtendedBinomialTree< T >.

Public Member Functions

Tree (Size columns)

Size columns () const

Additional Inherited Members

Detailed Description

template<class T>

class QuantLib::Tree< T >" Tree approximating a single-factor diffusion

Derived classes must implement the following interface:

public:
  Real underlying(Size i, Size index) const;
  Size size(Size i) const;
  Size descendant(Size i, Size index, Size branch) const;
  Real probability(Size i, Size index, Size branch) const;

and provide a public enumeration

enum { branches = N };

where N is a suitable constant (2 for binomial, 3 for trinomial...)

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

Tree(3) is an alias of QuantLib_Tree(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib