ExtendedEqualJumpsBinomialTree< T > Class Template Referenceabstract

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

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

Inheritance diagram for ExtendedEqualJumpsBinomialTree< T >:

Public Member Functions

 ExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
 
Real underlying (Size i, Size index) const
 
Real probability (Size i, Size, Size branch) const
 
- Public Member Functions inherited from ExtendedBinomialTree< T >
 ExtendedBinomialTree (const boost::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 >
T & impl ()
 
const T & impl () const
 

Protected Attributes

Real dx_
 
Real pu_
 
Real pd_
 
- Protected Attributes inherited from ExtendedBinomialTree< T >
Real x0_
 
Real driftPerStep_
 
Time dt_
 
boost::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.