ExtendedLeisenReimer Class Reference

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

#include <extendedbinomialtree.hpp>

Inheritance diagram for ExtendedLeisenReimer:

Collaboration 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< T >
	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< T >
	CuriouslyRecurringTemplate ()=default
	~CuriouslyRecurringTemplate ()=default
T &	impl ()
const T &	impl () const

Detailed Description

Leisen & Reimer tree: multiplicative approach.

Definition at line 209 of file extendedbinomialtree.hpp.

Constructor & Destructor Documentation

ExtendedLeisenReimer()

ExtendedLeisenReimer	(	const ext::shared_ptr< StochasticProcess1D > &	process,
		Time	end,
		Size	steps,
		Real	strike
	)

Definition at line 160 of file extendedbinomialtree.cpp.

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Member Function Documentation

underlying()

Real underlying	(	Size	i,
		Size	index
	)		const

Definition at line 183 of file extendedbinomialtree.cpp.

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probability()

Real probability	(	Size	i,
		Size	,
		Size	branch
	)		const

Definition at line 200 of file extendedbinomialtree.cpp.

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Member Data Documentation

end_

Time end_

protected

Definition at line 220 of file extendedbinomialtree.hpp.

oddSteps_

Size oddSteps_

protected

Definition at line 221 of file extendedbinomialtree.hpp.

strike_

Real strike_

protected

Definition at line 222 of file extendedbinomialtree.hpp.

up_

Real up_

protected

Definition at line 222 of file extendedbinomialtree.hpp.

down_

Real down_

protected

Definition at line 222 of file extendedbinomialtree.hpp.

pu_

Real pu_

protected

Definition at line 222 of file extendedbinomialtree.hpp.

pd_

Real pd_

protected

Definition at line 222 of file extendedbinomialtree.hpp.