QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
ExtendedBinomialTree< T > Class Template Reference

Binomial tree base class. More...

#include <extendedbinomialtree.hpp>

+ Inheritance diagram for ExtendedBinomialTree< T >:
+ Collaboration diagram for ExtendedBinomialTree< T >:

Public Types

enum  Branches { branches = 2 }
 

Public Member Functions

 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 Member Functions

Real driftStep (Time driftTime) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< T >
 CuriouslyRecurringTemplate ()=default
 
 ~CuriouslyRecurringTemplate ()=default
 
Timpl ()
 
const Timpl () const
 

Protected Attributes

Real x0_
 
Time dt_
 
ext::shared_ptr< StochasticProcess1DtreeProcess_
 

Detailed Description

template<class T>
class QuantLib::ExtendedBinomialTree< T >

Binomial tree base class.

Definition at line 39 of file extendedbinomialtree.hpp.

Member Enumeration Documentation

◆ Branches

enum Branches
Enumerator
branches 

Definition at line 41 of file extendedbinomialtree.hpp.

Constructor & Destructor Documentation

◆ ExtendedBinomialTree()

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

Definition at line 42 of file extendedbinomialtree.hpp.

Member Function Documentation

◆ size()

Size size ( Size  i) const

Definition at line 48 of file extendedbinomialtree.hpp.

◆ descendant()

Size descendant ( Size  ,
Size  index,
Size  branch 
) const

Definition at line 51 of file extendedbinomialtree.hpp.

◆ driftStep()

Real driftStep ( Time  driftTime) const
protected

Definition at line 56 of file extendedbinomialtree.hpp.

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Member Data Documentation

◆ x0_

Real x0_
protected

Definition at line 60 of file extendedbinomialtree.hpp.

◆ dt_

Time dt_
protected

Definition at line 61 of file extendedbinomialtree.hpp.

◆ treeProcess_

ext::shared_ptr<StochasticProcess1D> treeProcess_
protected

Definition at line 64 of file extendedbinomialtree.hpp.