QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Tree approximating a single-factor diffusion More...
#include <tree.hpp>
Public Member Functions | |
Tree (Size columns) | |
Size | columns () const |
Private Attributes | |
Size | columns_ |
Additional Inherited Members | |
Protected Member Functions inherited from CuriouslyRecurringTemplate< T > | |
CuriouslyRecurringTemplate ()=default | |
~CuriouslyRecurringTemplate ()=default | |
T & | impl () |
const T & | impl () const |
Tree approximating a single-factor diffusion
Derived classes must implement the following interface:
and provide a public enumeration
where N is a suitable constant (2 for binomial, 3 for trinomial...)