ExtendedLeisenReimer (3) - Linux Manuals

ExtendedLeisenReimer: Leisen & Reimer tree: multiplicative approach.

NAME

QuantLib::ExtendedLeisenReimer - Leisen & Reimer tree: multiplicative approach.

SYNOPSIS

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

Inherits ExtendedBinomialTree< ExtendedLeisenReimer >.

Public Member Functions

ExtendedLeisenReimer (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

Time end_

Size oddSteps_

Real strike_

Real up_

Real down_

Real pu_

Real pd_

Detailed Description

Leisen & Reimer tree: multiplicative approach.

Author

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