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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