Tree (3) Linux Manual Page

QuantLib::Tree – Tree approximating a single-factor diffusion

Synopsis

#include <ql/methods/lattices/tree.hpp>

Inherits CuriouslyRecurringTemplate< T >.

Public Member Functions

Tree (Size columns)

Size columns () const

Detailed Description

template<class T> class QuantLib::Tree< T >

Tree approximating a single-factor diffusion

Derived classes must implement the following interface:

 public:

 Real underlying(Size i, Size index) const;

 Size size(Size i) const;

 Size descendant(Size i, Size index, Size branch) const;

 Real probability(Size i, Size index, Size branch) const;

 and provide a public enumeration 

 enum { branches = N };

 where N is a suitable constant (2 for binomial, 3 for trinomial…) 

Author

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