ExtendedTian Class Reference

Tian tree: third moment matching, multiplicative approach More...

#include <extendedbinomialtree.hpp>

Inheritance diagram for ExtendedTian:

Collaboration diagram for ExtendedTian:

Public Member Functions
	ExtendedTian (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< ExtendedTian >
	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
Real	up_
Real	down_
Real	pu_
Real	pd_
Protected Attributes inherited from ExtendedBinomialTree< ExtendedTian >
Real	x0_
Time	dt_
ext::shared_ptr< StochasticProcess1D >	treeProcess_

Additional Inherited Members
Public Types inherited from ExtendedBinomialTree< ExtendedTian >
enum	Branches
Protected Member Functions inherited from ExtendedBinomialTree< ExtendedTian >
Real	driftStep (Time driftTime) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< T >
	CuriouslyRecurringTemplate ()=default
	~CuriouslyRecurringTemplate ()=default
T &	impl ()
const T &	impl () const

Detailed Description

Tian tree: third moment matching, multiplicative approach

Definition at line 194 of file extendedbinomialtree.hpp.

Constructor & Destructor Documentation

ExtendedTian()

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

Definition at line 110 of file extendedbinomialtree.cpp.

Here is the call graph for this function:

Member Function Documentation

underlying()

Real underlying	(	Size	i,
		Size	index
	)		const

Definition at line 133 of file extendedbinomialtree.cpp.

Here is the call graph for this function:

probability()

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

Definition at line 145 of file extendedbinomialtree.cpp.

Here is the call graph for this function:

Member Data Documentation

up_

Real up_

protected

Definition at line 204 of file extendedbinomialtree.hpp.

down_

Real down_

protected

Definition at line 204 of file extendedbinomialtree.hpp.

pu_

Real pu_

protected

Definition at line 204 of file extendedbinomialtree.hpp.

pd_

Real pd_

protected

Definition at line 204 of file extendedbinomialtree.hpp.