Tian (3) Linux Manual Page
QuantLib::Tian – Tian tree: third moment matching, multiplicative approach
Synopsis
#include <ql/methods/lattices/binomialtree.hpp>Inherits BinomialTree< Tian >.
Public Member Functions
Tian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)Real underlying (Size i, Size index) const
Real probability (Size, Size, Size branch) const
Protected Attributes
Real up_Real down_
Real pu_
Real pd_