QuantLib_Tree (3) - Linux Man Pages

QuantLib_Tree: Tree approximating a single-factor diffusion

NAME

QuantLib::Tree - Tree approximating a single-factor diffusion

SYNOPSIS


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

Inherits CuriouslyRecurringTemplate< T >.

Public Member Functions


Tree (Size columns)

Size columns () const

Detailed Description

template<class T> class QuantLib::Tree< T >

Tree approximating a single-factor diffusion

Derived classes must implement the following interface:

        public:
          Real underlying(Size i, Size index) const;
          Size size(Size i) const;
          Size descendant(Size i, Size index, Size branch) const;
          Real probability(Size i, Size index, Size branch) const;


 and provide a public enumeration 

        enum { branches = N };


 where N is a suitable constant (2 for binomial, 3 for trinomial...) 

Author

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