extendedbinomialtree (3) - Linux Manuals

extendedbinomialtree: Time-dependent binomial tree class.

NAME

ql/experimental/lattices/extendedbinomialtree.hpp - Time-dependent binomial tree class.

SYNOPSIS

#include <ql/methods/lattices/tree.hpp>
#include <ql/instruments/dividendschedule.hpp>
#include <ql/stochasticprocess.hpp>

Classes

class ExtendedBinomialTree< T >
Binomial tree base class.
class ExtendedEqualProbabilitiesBinomialTree< T >
Base class for equal probabilities binomial tree.
class ExtendedEqualJumpsBinomialTree< T >
Base class for equal jumps binomial tree.
class ExtendedJarrowRudd
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
class ExtendedCoxRossRubinstein
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
class ExtendedAdditiveEQPBinomialTree
Additive equal probabilities binomial tree.
class ExtendedTrigeorgis
Trigeorgis (additive equal jumps) binomial tree
class ExtendedTian
Tian tree: third moment matching, multiplicative approach
class ExtendedLeisenReimer
Leisen & Reimer tree: multiplicative approach.

Detailed Description

Time-dependent binomial tree class.

Author

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