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QuantLib_ExtendedEqualJumpsBinomialTree
Langue: en
Version: 382240 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ExtendedEqualJumpsBinomialTree -Base class for equal jumps binomial tree.
SYNOPSIS
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inherits QuantLib::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 >
Base class for equal jumps binomial tree.Author
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