QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
ExtendedJoshi4 Class Reference

#include <extendedbinomialtree.hpp>

+ Inheritance diagram for ExtendedJoshi4:
+ Collaboration diagram for ExtendedJoshi4:

Public Member Functions

 ExtendedJoshi4 (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< ExtendedJoshi4 >
 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 computeUpProb (Real k, Real dj) const
 
- Protected Member Functions inherited from ExtendedBinomialTree< ExtendedJoshi4 >
Real driftStep (Time driftTime) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< T >
 CuriouslyRecurringTemplate ()=default
 
 ~CuriouslyRecurringTemplate ()=default
 
Timpl ()
 
const Timpl () const
 

Protected Attributes

Time end_
 
Size oddSteps_
 
Real strike_
 
Real up_
 
Real down_
 
Real pu_
 
Real pd_
 
- Protected Attributes inherited from ExtendedBinomialTree< ExtendedJoshi4 >
Real x0_
 
Time dt_
 
ext::shared_ptr< StochasticProcess1DtreeProcess_
 

Additional Inherited Members

- Public Types inherited from ExtendedBinomialTree< ExtendedJoshi4 >
enum  Branches
 

Detailed Description

Definition at line 226 of file extendedbinomialtree.hpp.

Constructor & Destructor Documentation

◆ ExtendedJoshi4()

ExtendedJoshi4 ( const ext::shared_ptr< StochasticProcess1D > &  process,
Time  end,
Size  steps,
Real  strike 
)

Definition at line 235 of file extendedbinomialtree.cpp.

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Member Function Documentation

◆ underlying()

Real underlying ( Size  i,
Size  index 
) const

Definition at line 256 of file extendedbinomialtree.cpp.

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◆ probability()

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

Definition at line 272 of file extendedbinomialtree.cpp.

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◆ computeUpProb()

Real computeUpProb ( Real  k,
Real  dj 
) const
protected

Definition at line 214 of file extendedbinomialtree.cpp.

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Member Data Documentation

◆ end_

Time end_
protected

Definition at line 237 of file extendedbinomialtree.hpp.

◆ oddSteps_

Size oddSteps_
protected

Definition at line 238 of file extendedbinomialtree.hpp.

◆ strike_

Real strike_
protected

Definition at line 239 of file extendedbinomialtree.hpp.

◆ up_

Real up_
protected

Definition at line 239 of file extendedbinomialtree.hpp.

◆ down_

Real down_
protected

Definition at line 239 of file extendedbinomialtree.hpp.

◆ pu_

Real pu_
protected

Definition at line 239 of file extendedbinomialtree.hpp.

◆ pd_

Real pd_
protected

Definition at line 239 of file extendedbinomialtree.hpp.