ExtendedBinomialTree (3) Linux Manual Page
ql/experimental/lattices/extendedbinomialtree.hpp – Time-dependent binomial tree class.
Synopsis
#include <ql/methods/lattices/tree.hpp>#include <ql/instruments/dividendschedule.hpp>
#include <ql/stochasticprocess.hpp>
Classes
class ExtendedBinomialTree< T >Binomial tree base class.
class ExtendedEqualProbabilitiesBinomialTree< T >
Base class for equal probabilities binomial tree.
class ExtendedEqualJumpsBinomialTree< T >
Base class for equal jumps binomial tree.
class ExtendedJarrowRudd
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
class ExtendedCoxRossRubinstein
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
class ExtendedAdditiveEQPBinomialTree
Additive equal probabilities binomial tree.
class ExtendedTrigeorgis
Trigeorgis (additive equal jumps) binomial tree
class ExtendedTian
Tian tree: third moment matching, multiplicative approach
class ExtendedLeisenReimer
Leisen & Reimer tree: multiplicative approach.