JarrowRudd (3) - Linux Manuals

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

NAME

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

SYNOPSIS

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

Inherits EqualProbabilitiesBinomialTree< JarrowRudd >.

Public Member Functions

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

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Author

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