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fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | List of all members
ExtendedJarrowRudd Class Reference

Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...

#include <extendedbinomialtree.hpp>

+ Inheritance diagram for ExtendedJarrowRudd:
+ Collaboration diagram for ExtendedJarrowRudd:

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
 
Timpl ()
 
const Timpl () 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< StochasticProcess1DtreeProcess_
 

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Definition at line 133 of file extendedbinomialtree.hpp.

Constructor & Destructor Documentation

◆ ExtendedJarrowRudd()

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

Definition at line 28 of file extendedbinomialtree.cpp.

Member Function Documentation

◆ upStep()

Real upStep ( Time  stepTime) const
overrideprotectedvirtual