QuantLib_ExtendedCoxRossRubinstein (3) - Linux Manuals

QuantLib_ExtendedCoxRossRubinstein: Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

NAME

QuantLib::ExtendedCoxRossRubinstein - Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

SYNOPSIS


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

Inherits ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >.

Public Member Functions


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

Protected Member Functions


Real dxStep (Time stepTime) const

Real probUp (Time stepTime) const

Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.

Author

Generated automatically by Doxygen for QuantLib from the source code.