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QuantLib_ExtendedTrigeorgis
Langue: en
Version: 378673 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ExtendedTrigeorgis -Trigeorgis (additive equal jumps) binomial tree
SYNOPSIS
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >.
Public Member Functions
ExtendedTrigeorgis (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
Trigeorgis (additive equal jumps) binomial tree
Author
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