Tree (3) - Linux Manuals

Tree: Tree approximating a single-factor diffusion

NAME

QuantLib::Tree - Tree approximating a single-factor diffusion

SYNOPSIS

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

Inherits CuriouslyRecurringTemplate< T >.

Public Member Functions

Tree (Size columns)

Size columns () const

Detailed Description

template<class T> class QuantLib::Tree< T >

Derived classes must implement the following interface:

        public:
          Real underlying(Size i, Size index) const;
          Size size(Size i) const;
          Size descendant(Size i, Size index, Size branch) const;
          Real probability(Size i, Size index, Size branch) const;

 and provide a public enumeration 

        enum { branches = N };

 where N is a suitable constant (2 for binomial, 3 for trinomial...) 

Author

Generated automatically by Doxygen for QuantLib from the source code.