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down_: 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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