ExtendedTian (3) - Linux Manuals

ExtendedTian: Tian tree: third moment matching, multiplicative approach

NAME

QuantLib::ExtendedTian - Tian tree: third moment matching, multiplicative approach

SYNOPSIS

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

Inherits ExtendedBinomialTree< ExtendedTian >.

Public Member Functions

ExtendedTian (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

Real up_

Real down_

Real pu_

Real pd_

Detailed Description

Tian tree: third moment matching, multiplicative approach

Author

Generated automatically by Doxygen for QuantLib from the source code.