Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

QuantLib::ExtendedEqualJumpsBinomialTree< T > Class Template Reference

#include <extendedbinomialtree.hpp>

Inheritance diagram for QuantLib::ExtendedEqualJumpsBinomialTree< T >:

QuantLib::ExtendedBinomialTree< T > QuantLib::Tree< T > QuantLib::CuriouslyRecurringTemplate< T > QuantLib::ExtendedCoxRossRubinstein QuantLib::ExtendedTrigeorgis

List of all members.


Detailed Description

template<class T>
class QuantLib::ExtendedEqualJumpsBinomialTree< T >

Base class for equal jumps binomial tree.

Definition at line 102 of file extendedbinomialtree.hpp.


Public Types

enum  Branches { branches = 2 }

Public Member Functions

Size columns () const
Size descendant (Size, Size index, Size branch) const
 ExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
Real probability (Size i, Size, Size branch) const
Size size (Size i) const
Real underlying (Size i, Size index) const

Protected Member Functions

Real driftStep (Time driftTime) const
virtual Real dxStep (Time stepTime) const =0
const T & impl () const
T & impl ()
virtual Real probUp (Time stepTime) const =0

Protected Attributes

Real driftPerStep_
Time dt_
Real dx_
Real pd_
Real pu_
boost::shared_ptr
< StochasticProcess1D
treeProcess_
Real x0_

The documentation for this class was generated from the following file:

Generated by  Doxygen 1.6.0   Back to index