QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
#include <extendedbinomialtree.hpp>
Public Member Functions | |
ExtendedJarrowRudd (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
Public Member Functions inherited from ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > | |
ExtendedEqualProbabilitiesBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) | |
virtual | ~ExtendedEqualProbabilitiesBinomialTree ()=default |
Real | underlying (Size i, Size index) const |
Real | probability (Size, Size, Size) 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 | |
Real | upStep (Time stepTime) const override |
virtual Real | upStep (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 |
Additional Inherited Members | |
Public Types inherited from ExtendedBinomialTree< T > | |
enum | Branches { branches = 2 } |
Protected Attributes inherited from ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd > | |
Real | up_ |
Protected Attributes inherited from ExtendedBinomialTree< T > | |
Real | x0_ |
Time | dt_ |
ext::shared_ptr< StochasticProcess1D > | treeProcess_ |
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
Definition at line 133 of file extendedbinomialtree.hpp.
ExtendedJarrowRudd | ( | const ext::shared_ptr< StochasticProcess1D > & | process, |
Time | end, | ||
Size | steps, | ||
Real | strike | ||
) |
Definition at line 28 of file extendedbinomialtree.cpp.
Implements ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >.
Definition at line 37 of file extendedbinomialtree.cpp.