A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Tian tree: third moment matching, multiplicative approach More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inheritance diagram for ExtendedTian:Public Member Functions | |
| ExtendedTian (const ext::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
| Real | underlying (Size i, Size index) const |
| Real | probability (Size, Size, Size branch) const |
| Public Member Functions inherited from ExtendedBinomialTree< ExtendedTian > | |
| ExtendedBinomialTree (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< ExtendedTian > | |
| Tree (Size columns) | |
| Size | columns () const |
Protected Attributes | |
| Real | up_ |
| Real | down_ |
| Real | pu_ |
| Real | pd_ |
| Protected Attributes inherited from ExtendedBinomialTree< ExtendedTian > | |
| Real | x0_ |
| Time | dt_ |
| ext::shared_ptr< StochasticProcess1D > | treeProcess_ |
Additional Inherited Members | |
| Public Types inherited from ExtendedBinomialTree< ExtendedTian > | |
| enum | Branches |
| Protected Member Functions inherited from ExtendedBinomialTree< ExtendedTian > | |
| Real | driftStep (Time driftTime) const |
| Protected Member Functions inherited from CuriouslyRecurringTemplate< ExtendedTian > | |
| ExtendedTian & | impl () |
| const ExtendedTian & | impl () const |
Tian tree: third moment matching, multiplicative approach
