Rechercher une page de manuel
QuantLib_Tree
Langue: en
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 diffusionDerived 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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre