probUp (3) - Linux Manuals

probUp: Base class for equal jumps binomial tree.

NAME

QuantLib::ExtendedEqualJumpsBinomialTree - Base class for equal jumps binomial tree.

SYNOPSIS

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inherits ExtendedBinomialTree< T >.

Public Member Functions

ExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)

Real underlying (Size i, Size index) const

Real probability (Size i, Size, Size branch) const

Protected Member Functions

virtual Real probUp (Time stepTime) const =0

virtual Real dxStep (Time stepTime) const =0

Protected Attributes

Real dx_

Real pu_

Real pd_

Detailed Description

template<class T> class QuantLib::ExtendedEqualJumpsBinomialTree< T >

Author

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