JarrowRudd Class Reference

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

#include <ql/methods/lattices/binomialtree.hpp>

Inheritance diagram for JarrowRudd:

Public Member Functions
	JarrowRudd (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
Public Member Functions inherited from EqualProbabilitiesBinomialTree< JarrowRudd >
	EqualProbabilitiesBinomialTree (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 BinomialTree< JarrowRudd >
	BinomialTree (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< JarrowRudd >
	Tree (Size columns)
Size	columns () const

Additional Inherited Members
Public Types inherited from BinomialTree< JarrowRudd >
enum	Branches
Protected Member Functions inherited from CuriouslyRecurringTemplate< JarrowRudd >
JarrowRudd &	impl ()
Protected Attributes inherited from EqualProbabilitiesBinomialTree< JarrowRudd >
Real	up_
Protected Attributes inherited from BinomialTree< JarrowRudd >
Real	x0_
Real	driftPerStep_
Time	dt_

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.