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QuantLib_Tian
Langue: en
Version: 375661 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::Tian -Tian tree: third moment matching, multiplicative approach
SYNOPSIS
#include <ql/methods/lattices/binomialtree.hpp>
Inherits BinomialTree< Tian >.
Public Member Functions
Tian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
Real underlying (Size i, Size index) const
Real probability (Size, Size, Size branch) const
Protected Attributes
Real up_
Real down_
Real pu_
Real pd_
Detailed Description
Tian tree: third moment matching, multiplicative approach
Author
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