ExtendedEqualJumpsBinomialTree< T > Class Template Reference

Base class for equal jumps binomial tree. More...

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inheritance diagram for ExtendedEqualJumpsBinomialTree< T >:

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Public Member Functions
	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
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

Protected Attributes
Real	dx_
Real	pu_
Real	pd_
Protected Attributes inherited from ExtendedBinomialTree< T >
Real	x0_
Time	dt_
ext::shared_ptr< StochasticProcess1D >	treeProcess_

Additional Inherited Members
Public Types inherited from ExtendedBinomialTree< T >
enum	Branches { branches = 2 }

Detailed Description

template<class T>
class QuantLib::ExtendedEqualJumpsBinomialTree< T >

Base class for equal jumps binomial tree.

Definition at line 99 of file extendedbinomialtree.hpp.

Constructor & Destructor Documentation

ExtendedEqualJumpsBinomialTree()

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

Definition at line 101 of file extendedbinomialtree.hpp.

~ExtendedEqualJumpsBinomialTree()

virtual ~ExtendedEqualJumpsBinomialTree ( )

virtualdefault

Member Function Documentation

underlying()

Real underlying	(	Size	i,
		Size	index
	)		const

Definition at line 108 of file extendedbinomialtree.hpp.

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probability()

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

Definition at line 115 of file extendedbinomialtree.hpp.

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probUp()

virtual Real probUp ( Time  stepTime ) const

protectedpure virtual

Implemented in ExtendedCoxRossRubinstein, and ExtendedTrigeorgis.

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dxStep()

virtual Real dxStep ( Time  stepTime ) const

protectedpure virtual

Implemented in ExtendedCoxRossRubinstein, and ExtendedTrigeorgis.

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Member Data Documentation

dx_

Real dx_

protected

Definition at line 127 of file extendedbinomialtree.hpp.

pu_

Real pu_

protected

Definition at line 127 of file extendedbinomialtree.hpp.

pd_

Real pd_

protected

Definition at line 127 of file extendedbinomialtree.hpp.