Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inheritance diagram for ExtendedCoxRossRubinstein:
Collaboration diagram for ExtendedCoxRossRubinstein:
Public Member Functions | |
| ExtendedCoxRossRubinstein (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
| Public Member Functions inherited from ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > | |
| ExtendedEqualJumpsBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) | |
| virtual | ~ExtendedEqualJumpsBinomialTree ()=default |
| Real | underlying (Size i, Size index) const |
| Real | probability (Size i, Size, Size branch) const |
| Public Member Functions inherited from ExtendedBinomialTree< T > | |
| 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 | dxStep (Time stepTime) const override |
| Real | probUp (Time stepTime) const override |
| virtual Real | probUp (Time stepTime) const=0 |
| virtual Real | dxStep (Time stepTime) const=0 |
| Protected Member Functions inherited from ExtendedBinomialTree< T > | |
| Real | driftStep (Time driftTime) const |
| Protected Member Functions inherited from CuriouslyRecurringTemplate< T > | |
| CuriouslyRecurringTemplate ()=default | |
| ~CuriouslyRecurringTemplate ()=default | |
| T & | impl () |
| const T & | impl () const |
Additional Inherited Members | |
| Public Types inherited from ExtendedBinomialTree< T > | |
| enum | Branches { branches = 2 } |
| Protected Attributes inherited from ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein > | |
| Real | dx_ |
| Real | pu_ |
| Real | pd_ |
| Protected Attributes inherited from ExtendedBinomialTree< T > | |
| Real | x0_ |
| Time | dt_ |
| ext::shared_ptr< StochasticProcess1D > | treeProcess_ |
Detailed Description
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
Definition at line 147 of file extendedbinomialtree.hpp.
Constructor & Destructor Documentation
◆ ExtendedCoxRossRubinstein()
| ExtendedCoxRossRubinstein | ( | const ext::shared_ptr< StochasticProcess1D > & | process, |
| Time | end, | ||
| Size | steps, | ||
| Real | strike | ||
| ) |
Member Function Documentation
◆ dxStep()
Implements ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >.
Definition at line 57 of file extendedbinomialtree.cpp.
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◆ probUp()
Implements ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >.
Definition at line 61 of file extendedbinomialtree.cpp.
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