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QuantLib_ExtendedCoxRossRubinstein
Langue: en
Version: 372974 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ExtendedCoxRossRubinstein -Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
SYNOPSIS
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >.
Public Member Functions
ExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
Protected Member Functions
Real dxStep (Time stepTime) const
Real probUp (Time stepTime) const
Detailed Description
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
Author
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