QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Protected Attributes | List of all members
Tian Class Reference

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

#include <ql/methods/lattices/binomialtree.hpp>

+ Inheritance diagram for Tian:
+ Collaboration diagram for Tian:

Public Member Functions

 Tian (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 BinomialTree< Tian >
 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
 

Protected Attributes

Real up_
 
Real down_
 
Real pu_
 
Real pd_
 
- Protected Attributes inherited from BinomialTree< Tian >
Real x0_
 
Real driftPerStep_
 
Time dt_
 

Additional Inherited Members

- Public Types inherited from BinomialTree< Tian >
enum  Branches
 
- 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 153 of file binomialtree.hpp.

Constructor & Destructor Documentation

◆ Tian()

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

Definition at line 77 of file binomialtree.cpp.

Member Function Documentation

◆ underlying()

Real underlying ( Size  i,
Size  index 
) const

Definition at line 159 of file binomialtree.hpp.

◆ probability()

Real probability ( Size  ,
Size  ,
Size  branch 
) const

Definition at line 163 of file binomialtree.hpp.

Member Data Documentation

◆ up_

Real up_
protected

Definition at line 167 of file binomialtree.hpp.

◆ down_

Real down_
protected

Definition at line 167 of file binomialtree.hpp.

◆ pu_

Real pu_
protected

Definition at line 167 of file binomialtree.hpp.

◆ pd_

Real pd_
protected

Definition at line 167 of file binomialtree.hpp.