QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
CoxRossRubinstein Class Reference

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...

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

+ Inheritance diagram for CoxRossRubinstein:

Public Member Functions

 CoxRossRubinstein (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
 
- Public Member Functions inherited from EqualJumpsBinomialTree< CoxRossRubinstein >
 EqualJumpsBinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
 
Real underlying (Size i, Size index) const
 
Real probability (Size, Size, Size branch) const
 
- Public Member Functions inherited from BinomialTree< CoxRossRubinstein >
 BinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
 
Size size (Size i) const
 
Size descendant (Size, Size index, Size branch) const
 
- Public Member Functions inherited from Tree< CoxRossRubinstein >
 Tree (Size columns)
 
Size columns () const
 

Additional Inherited Members

- Public Types inherited from BinomialTree< CoxRossRubinstein >
enum  Branches
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< CoxRossRubinstein >
CoxRossRubinsteinimpl ()
 
const CoxRossRubinsteinimpl () const
 
- Protected Attributes inherited from EqualJumpsBinomialTree< CoxRossRubinstein >
Real dx_
 
Real pu_
 
Real pd_
 
- Protected Attributes inherited from BinomialTree< CoxRossRubinstein >
Real x0_
 
Real driftPerStep_
 
Time dt_
 

Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.