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QuantLib::ExtendedTian Class Reference

#include <extendedbinomialtree.hpp>

Inheritance diagram for QuantLib::ExtendedTian:

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

List of all members.


Detailed Description

Tian tree: third moment matching, multiplicative approach

Definition at line 197 of file extendedbinomialtree.hpp.


Public Types

enum  Branches { branches = 2 }

Public Member Functions

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

Protected Member Functions

Real driftStep (Time driftTime) const
const T & impl () const
T & impl ()

Protected Attributes

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

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

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