1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=UTF-8">
<meta name="robots" content="none">
<title>QuantLib: TrinomialTree Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.9.0</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.4 -->
<div class="nav">
<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_trinomial_tree.html">TrinomialTree</a></div>
<h1>TrinomialTree Class Reference<br>
<small>
[<a class="el" href="group__lattices.html">Lattice methods</a>]</small>
</h1><!-- doxytag: class="QuantLib::TrinomialTree" --><!-- doxytag: inherits="QuantLib::Tree" --><code>#include <ql/methods/lattices/trinomialtree.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for TrinomialTree:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_trinomial_tree__inherit__graph.png" border="0" usemap="#_trinomial_tree__inherit__map" alt="Inheritance graph"></center>
<map name="_trinomial_tree__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_tree.html" title="Tree approximating a single-factor diffusion" alt="" coords="5,7,232,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_trinomial_tree-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Recombining trinomial tree class.
<p>
This class defines a recombining trinomial tree approximating a 1-D stochastic process. <dl compact><dt><b><a class="el" href="caveats.html#_caveats000067">Warning:</a></b></dt><dd>The diffusion term of the SDE must be independent of the underlying process.</dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">enum </td><td class="memItemRight" valign="bottom"><b>Branches</b> { <b>branches</b> = 3
}</td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="078e840172f31eaf0ca3ce14574e2457"></a><!-- doxytag: member="QuantLib::TrinomialTree::TrinomialTree" ref="078e840172f31eaf0ca3ce14574e2457" args="(const boost::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)" -->
</td><td class="memItemRight" valign="bottom"><b>TrinomialTree</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &process, const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &timeGrid, bool isPositive=false)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a4bb94c633d219d75bb5b590fe6b23b7"></a><!-- doxytag: member="QuantLib::TrinomialTree::dx" ref="a4bb94c633d219d75bb5b590fe6b23b7" args="(Size i) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>dx</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f56adbf4be442b2ca611a3840ba6c50"></a><!-- doxytag: member="QuantLib::TrinomialTree::timeGrid" ref="6f56adbf4be442b2ca611a3840ba6c50" args="() const " -->
const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> & </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2609b991dbefe939a4749c7cb101fcb5"></a><!-- doxytag: member="QuantLib::TrinomialTree::size" ref="2609b991dbefe939a4749c7cb101fcb5" args="(Size i) const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="adac025a5f64f237485fd45611a1b2d9"></a><!-- doxytag: member="QuantLib::TrinomialTree::underlying" ref="adac025a5f64f237485fd45611a1b2d9" args="(Size i, Size index) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>underlying</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> index) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="48f57733a612b5288a9fbd89d9b71072"></a><!-- doxytag: member="QuantLib::TrinomialTree::descendant" ref="48f57733a612b5288a9fbd89d9b71072" args="(Size i, Size index, Size branch) const " -->
<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>descendant</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ca88ad07031bcbdd6c191208c49f1042"></a><!-- doxytag: member="QuantLib::TrinomialTree::probability" ref="ca88ad07031bcbdd6c191208c49f1042" args="(Size i, Size index, Size branch) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>probability</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cab8fbe3eb882df8aa3ed9dceb1edf5"></a><!-- doxytag: member="QuantLib::TrinomialTree::branchings_" ref="4cab8fbe3eb882df8aa3ed9dceb1edf5" args="" -->
std::vector< Branching > </td><td class="memItemRight" valign="bottom"><b>branchings_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fb597b35edab96eecbcbf9a2df04f05d"></a><!-- doxytag: member="QuantLib::TrinomialTree::x0_" ref="fb597b35edab96eecbcbf9a2df04f05d" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>x0_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ef7f39f95dbbf62fd365a1ec2a0e70bf"></a><!-- doxytag: member="QuantLib::TrinomialTree::dx_" ref="ef7f39f95dbbf62fd365a1ec2a0e70bf" args="" -->
std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>dx_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dda5ae6c670bdbb1857509a4aa20ec25"></a><!-- doxytag: member="QuantLib::TrinomialTree::timeGrid_" ref="dda5ae6c670bdbb1857509a4aa20ec25" args="" -->
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid_</b></td></tr>
</table>
</div>
<div class="footer">
<div class="endmatter">
Documentation generated by
<a href="http://www.doxygen.org">Doxygen</a> 1.5.4
</div>
</div>
</div>
</body>
</html>
|
