Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...
#include <binomialtree.hpp>
Inheritance diagram for CoxRossRubinstein:
Collaboration diagram for CoxRossRubinstein:
Public Member Functions | |
| CoxRossRubinstein (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
| Public Member Functions inherited from EqualJumpsBinomialTree< CoxRossRubinstein > | |
| EqualJumpsBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) | |
| Real | underlying (Size i, Size index) const |
| Real | probability (Size, Size, Size branch) const |
| Public Member Functions inherited from BinomialTree< T > | |
| BinomialTree (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 |
Additional Inherited Members | |
| Public Types inherited from BinomialTree< T > | |
| enum | Branches { branches = 2 } |
| Protected Member Functions inherited from CuriouslyRecurringTemplate< T > | |
| CuriouslyRecurringTemplate ()=default | |
| ~CuriouslyRecurringTemplate ()=default | |
| T & | impl () |
| const T & | impl () const |
| Protected Attributes inherited from EqualJumpsBinomialTree< CoxRossRubinstein > | |
| Real | dx_ |
| Real | pu_ |
| Real | pd_ |
| Protected Attributes inherited from BinomialTree< T > | |
| Real | x0_ |
| Real | driftPerStep_ |
| Time | dt_ |
Detailed Description
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
Definition at line 117 of file binomialtree.hpp.
Constructor & Destructor Documentation
◆ CoxRossRubinstein()
| CoxRossRubinstein | ( | const ext::shared_ptr< StochasticProcess1D > & | process, |
| Time | end, | ||
| Size | steps, | ||
| Real | strike | ||
| ) |
Definition at line 37 of file binomialtree.cpp.