branchings_(3)
NAME
QuantLib::TrinomialTree – Recombining trinomial tree class.
SYNOPSIS
#include <ql/methods/lattices/trinomialtree.hpp>
Inherits Tree< TrinomialTree >.
Public Types
enum Branches { branches = 3 }
Public Member Functions
TrinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)
Real dx (Size i) const
const TimeGrid & timeGrid () const
Size size (Size i) const
Real underlying (Size i, Size index) const
Size descendant (Size i, Size index, Size branch) const
Real probability (Size i, Size index, Size branch) const
Protected Attributes
std::vector< Branching > branchings_
Real x0_
std::vector< Real > dx_
TimeGrid timeGrid_
Detailed Description
Recombining trinomial tree class.
This class defines a recombining trinomial tree approximating a 1-D stochastic process.
Warning
- The diffusion term of the SDE must be independent of the underlying process.
Author
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