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QuantLib_ExtendedJarrowRudd
Langue: en
Version: 380337 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ExtendedJarrowRudd -Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
SYNOPSIS
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >.
Public Member Functions
ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
Protected Member Functions
Real upStep (Time stepTime) const
Detailed Description
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
Author
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