ExtendedJarrowRudd Class Reference

Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...

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

Inheritance diagram for ExtendedJarrowRudd:

Public Member Functions
	ExtendedJarrowRudd (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
Public Member Functions inherited from ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >
	ExtendedEqualProbabilitiesBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
Real	underlying (Size i, Size index) const
Real	probability (Size, Size, Size) const
Public Member Functions inherited from ExtendedBinomialTree< ExtendedJarrowRudd >
	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< ExtendedJarrowRudd >
	Tree (Size columns)
Size	columns () const

Protected Member Functions
Real	upStep (Time stepTime) const override
Protected Member Functions inherited from ExtendedBinomialTree< ExtendedJarrowRudd >
Real	driftStep (Time driftTime) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< ExtendedJarrowRudd >
ExtendedJarrowRudd &	impl ()

Additional Inherited Members
Public Types inherited from ExtendedBinomialTree< ExtendedJarrowRudd >
enum	Branches
Protected Attributes inherited from ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >
Real	up_
Protected Attributes inherited from ExtendedBinomialTree< ExtendedJarrowRudd >
Real	x0_
Time	dt_
ext::shared_ptr< StochasticProcess1D >	treeProcess_

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Member Function Documentation

upStep()

Real upStep ( Time stepTime ) const

overrideprotectedvirtual

Implements ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >.