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

Recombining trinomial tree class. More...

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

+ Inheritance diagram for TrinomialTree:

Public Types

enum  Branches { branches = 3 }
 

Public Member Functions

 TrinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)
 
Real dx (Size i) const
 
const TimeGridtimeGrid () const
 
Size size (Size i) const
 
Real underlying (Size i, Size index) const
 
Size descendant (Size i, Size index, Size branch) const
 
Real probability (Size i, Size index, Size branch) const
 
- Public Member Functions inherited from Tree< TrinomialTree >
 Tree (Size columns)
 
Size columns () const
 

Protected Attributes

std::vector< Branching > branchings_
 
Real x0_
 
std::vector< Realdx_
 
TimeGrid timeGrid_
 

Additional Inherited Members

- Protected Member Functions inherited from CuriouslyRecurringTemplate< TrinomialTree >
TrinomialTreeimpl ()
 
const TrinomialTreeimpl () const
 

Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a 1-D stochastic process.

Warning:
The diffusion term of the SDE must be independent of the underlying process.