ExtendedTian Class Reference

Tian tree: third moment matching, multiplicative approach More...

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

Inheritance diagram for ExtendedTian:

Public Member Functions
	ExtendedTian (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< ExtendedTian >
	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< ExtendedTian >
	Tree (Size columns)
Size	columns () const

Protected Attributes
Real	up_
Real	down_
Real	pu_
Real	pd_
Protected Attributes inherited from ExtendedBinomialTree< ExtendedTian >
Real	x0_
Time	dt_
ext::shared_ptr< StochasticProcess1D >	treeProcess_

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

Detailed Description

Tian tree: third moment matching, multiplicative approach