ExtendedBinomialTree (3) - Linux Manuals

ExtendedBinomialTree: Binomial tree base class.

NAME

QuantLib::ExtendedBinomialTree - Binomial tree base class.

SYNOPSIS

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

Inherits Tree< T >.

Public Types

enum Branches { branches = 2 }

Public Member Functions

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

Size size (Size i) const

Size descendant (Size, Size index, Size branch) const

Protected Member Functions

Real driftStep (Time driftTime) const

Protected Attributes

Real x0_

Real driftPerStep_

Time dt_

boost::shared_ptr< StochasticProcess1D > treeProcess_

Detailed Description

template<class T> class QuantLib::ExtendedBinomialTree< T >

Author

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