ExtendedLeisenReimer Class Reference

Leisen & Reimer tree: multiplicative approach. More...

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

Inheritance diagram for ExtendedLeisenReimer:

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

Protected Attributes
Time	end_
Size	oddSteps_
Real	strike_
Real	up_
Real	down_
Real	pu_
Real	pd_
Protected Attributes inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
Real	x0_
Time	dt_
ext::shared_ptr< StochasticProcess1D >	treeProcess_

Additional Inherited Members
Public Types inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
enum	Branches
Protected Member Functions inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
Real	driftStep (Time driftTime) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< ExtendedLeisenReimer >
ExtendedLeisenReimer &	impl ()

Detailed Description

Leisen & Reimer tree: multiplicative approach.