QuantLib_Tree

Langue: en

Autres versions - même langue

Version: 376026 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::Tree -

Tree approximating a single-factor diffusion

SYNOPSIS


#include <ql/methods/lattices/tree.hpp>

Inherits CuriouslyRecurringTemplate< T >.

Inherited by BinomialTree< T >, and ExtendedBinomialTree< T >.

Public Member Functions


Tree (Size columns)

Size columns () const

Detailed Description

template<class T> class QuantLib::Tree< T >

Tree approximating a single-factor diffusion

Derived classes must implement the following interface:

         public:
           Real underlying(Size i, Size index) const;
           Size size(Size i) const;
           Size descendant(Size i, Size index, Size branch) const;
           Real probability(Size i, Size index, Size branch) const;


 and provide a public enumeration 

         enum { branches = N };


 where N is a suitable constant (2 for binomial, 3 for trinomial...) 

Author

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