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QuantLib::ExtendedJarrowRudd Class Reference

#include <extendedbinomialtree.hpp>

Inheritance diagram for QuantLib::ExtendedJarrowRudd:

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

List of all members.


Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Definition at line 136 of file extendedbinomialtree.hpp.


Public Types

enum  Branches { branches = 2 }

Public Member Functions

Size columns () const
Size descendant (Size, Size index, Size branch) const
 ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
Real probability (Size, Size, Size) 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 ()
Real upStep (Time stepTime) const

Protected Attributes

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

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

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