TrinomialTree Class Reference

Recombining trinomial tree class. More...

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

Inheritance diagram for TrinomialTree:

Public Types
enum	Branches { branches = 3 }

Public Member Functions
	TrinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)
Real	dx (Size i) const
const TimeGrid &	timeGrid () const
Size	size (Size i) const
Real	underlying (Size i, Size index) const
Size	descendant (Size i, Size index, Size branch) const
Real	probability (Size i, Size index, Size branch) const
Public Member Functions inherited from Tree< TrinomialTree >
	Tree (Size columns)
Size	columns () const

Protected Attributes
std::vector< Branching >	branchings_
Real	x0_
std::vector< Real >	dx_
TimeGrid	timeGrid_

Additional Inherited Members
Protected Member Functions inherited from CuriouslyRecurringTemplate< TrinomialTree >
TrinomialTree &	impl ()

Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a 1-D stochastic process.

Warning

The diffusion term of the SDE must be independent of the underlying process.