QuantLib_ExtendedLeisenReimer (3) - Linux Manuals
QuantLib_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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