QuantLib_TrinomialTree man page

TrinomialTree — Recombining trinomial tree class.  


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

Inherits Tree< TrinomialTree >.

Public Types

enum Branches { branches = 3 }

Public Member Functions

TrinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)
Real dx (Size i) const
const TimeGrid & timeGrid () const
Size size (Size i) const
Real underlying (Size i, Size index) const
Size descendant (Size i, Size index, Size branch) const
Real probability (Size i, Size index, Size branch) const

Protected Attributes

std::vector< Branching > branchings_
Real x0_
std::vector< Real > dx_
TimeGrid timeGrid_

Additional Inherited Members

Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a 1-D stochastic process.


The diffusion term of the SDE must be independent of the underlying process.


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Referenced By

The man pages branchings_(3) and TrinomialTree(3) are aliases of QuantLib_TrinomialTree(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib