QuantLib: ExtendedEqualJumpsBinomialTree< T

Base class for equal jumps binomial tree. More...

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inheritance diagram for ExtendedEqualJumpsBinomialTree< T >:

Public Member Functions
	ExtendedEqualJumpsBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
Real	underlying (Size i, Size index) const
Real	probability (Size i, Size, Size branch) const
Public Member Functions inherited from ExtendedBinomialTree< T >
	ExtendedBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
Size	size (Size i) const
Size	descendant (Size, Size index, Size branch) const
Public Member Functions inherited from Tree< T >
	Tree (Size columns)
Size	columns () const

Protected Member Functions
virtual Real	probUp (Time stepTime) const =0
virtual Real	dxStep (Time stepTime) const =0
Protected Member Functions inherited from ExtendedBinomialTree< T >
Real	driftStep (Time driftTime) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< T >
T &	impl ()

Protected Attributes
Real	dx_
Real	pu_
Real	pd_
Protected Attributes inherited from ExtendedBinomialTree< T >
Real	x0_
Time	dt_
ext::shared_ptr< StochasticProcess1D >	treeProcess_

Additional Inherited Members
Public Types inherited from ExtendedBinomialTree< T >
enum	Branches { branches = 2 }

Detailed Description

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

Base class for equal jumps binomial tree.