ExtendedTrigeorgis (3) Linux Manual Page

QuantLib::ExtendedTrigeorgis – Trigeorgis (additive equal jumps) binomial tree

Synopsis

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >.

Public Member Functions

ExtendedTrigeorgis (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)

Protected Member Functions

Real dxStep (Time stepTime) const

Real probUp (Time stepTime) const

Detailed Description

Trigeorgis (additive equal jumps) binomial tree

Author

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