JarrowRudd (3) Linux Manual Page

QuantLib::JarrowRudd – Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Synopsis

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

Inherits EqualProbabilitiesBinomialTree< JarrowRudd >.

Public Member Functions

JarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Author

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