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QuantLib::ExtendedCoxRossRubinstein Class Reference

#include <extendedbinomialtree.hpp>

Inheritance diagram for QuantLib::ExtendedCoxRossRubinstein:

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

List of all members.


Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

Definition at line 150 of file extendedbinomialtree.hpp.


Public Types

enum  Branches { branches = 2 }

Public Member Functions

Size columns () const
Size descendant (Size, Size index, Size branch) const
 ExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
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
Real dxStep (Time stepTime) const
const T & impl () const
T & impl ()
Real probUp (Time stepTime) const

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 files:

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