QuantLib_ExtendedTian (3) - Linux Manuals
QuantLib_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
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