TrinomialTree Class Reference

Recombining trinomial tree class. More...

#include <trinomialtree.hpp>

Inheritance diagram for TrinomialTree:

Collaboration diagram for TrinomialTree:

Classes
class	Branching

Public Types
enum	Branches { branches = 3 }

Public Member Functions
	TrinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)
Real	dx (Size i) const
const TimeGrid &	timeGrid () const
Size	size (Size i) const
Real	underlying (Size i, Size index) const
Size	descendant (Size i, Size index, Size branch) const
Real	probability (Size i, Size index, Size branch) const
Public Member Functions inherited from Tree< TrinomialTree >
	Tree (Size columns)
Size	columns () const

Protected Attributes
std::vector< Branching >	branchings_
Real	x0_
std::vector< Real >	dx_
TimeGrid	timeGrid_

Additional Inherited Members
Protected Member Functions inherited from CuriouslyRecurringTemplate< Impl >
	CuriouslyRecurringTemplate ()=default
	~CuriouslyRecurringTemplate ()=default
Impl &	impl ()
const Impl &	impl () const

Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a 1-D stochastic process.

Warning:

The diffusion term of the SDE must be independent of the underlying process.

Definition at line 41 of file trinomialtree.hpp.

Member Enumeration Documentation

Branches

enum Branches

Enumerator
branches

Definition at line 44 of file trinomialtree.hpp.

Constructor & Destructor Documentation

TrinomialTree()

TrinomialTree	(	const ext::shared_ptr< StochasticProcess1D > &	process,
		const TimeGrid &	timeGrid,
		bool	isPositive = false
	)

Definition at line 26 of file trinomialtree.cpp.

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Member Function Documentation

dx()

Real dx

(

Size

i

)

const

Definition at line 48 of file trinomialtree.hpp.

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timeGrid()

const TimeGrid & timeGrid

(

)

const

Definition at line 49 of file trinomialtree.hpp.

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size()

Size size

(

Size

i

)

const

Definition at line 84 of file trinomialtree.hpp.

underlying()

Real underlying	(	Size	i,
		Size	index
	)		const

Definition at line 88 of file trinomialtree.hpp.

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descendant()

Size descendant	(	Size	i,
		Size	index,
		Size	branch
	)		const

Definition at line 96 of file trinomialtree.hpp.

probability()

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

Definition at line 101 of file trinomialtree.hpp.

Member Data Documentation

branchings_

std::vector<Branching> branchings_

protected

Definition at line 57 of file trinomialtree.hpp.

x0_

Real x0_

protected

Definition at line 58 of file trinomialtree.hpp.

dx_

std::vector<Real> dx_

protected

Definition at line 59 of file trinomialtree.hpp.

timeGrid_

TimeGrid timeGrid_

protected

Definition at line 60 of file trinomialtree.hpp.