Tian (3) - Linux Manuals

Tian: Tian tree: third moment matching, multiplicative approach

NAME

QuantLib::Tian - Tian tree: third moment matching, multiplicative approach

SYNOPSIS

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

Inherits BinomialTree< Tian >.

Public Member Functions

Tian (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

Real up_

Real down_

Real pu_

Real pd_

Detailed Description

Tian tree: third moment matching, multiplicative approach

Author

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