QuantLib_ExtendedLeisenReimer (3) Linux Manual Page
QuantLib::ExtendedLeisenReimer – Leisen & Reimer tree: multiplicative approach.
Synopsis
#include <ql/experimental/lattices/extendedbinomialtree.hpp>Inherits ExtendedBinomialTree< ExtendedLeisenReimer >.
Public Member Functions
ExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)Real underlying (Size i, Size index) const
Real probability (Size, Size, Size branch) const
Protected Attributes
Time end_Size oddSteps_
Real strike_
Real up_
Real down_
Real pu_
Real pd_