descendant(3)
NAME
QuantLib::ExtendedBinomialTree – Binomial tree base class.
SYNOPSIS
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inherits Tree< T >.
Public Types
enum Branches { branches = 2 }
Public Member Functions
ExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
Size size (Size i) const
Size descendant (Size, Size index, Size branch) const
Protected Member Functions
Real driftStep (Time driftTime) const
Protected Attributes
Real x0_
Real driftPerStep_
Time dt_
boost::shared_ptr< StochasticProcess1D > treeProcess_
Detailed Description
template<class T> class QuantLib::ExtendedBinomialTree< T >
Binomial tree base class.
Author
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