ExtendedJarrowRudd (3) - Linux Manuals

ExtendedJarrowRudd: Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

NAME

QuantLib::ExtendedJarrowRudd - Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

SYNOPSIS

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

Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >.

Public Member Functions

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

Protected Member Functions

Real upStep (Time stepTime) const

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Author

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