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
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: Trigeorgis Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_trigeorgis.html">Trigeorgis</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_trigeorgis-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">Trigeorgis Class Reference<div class="ingroups"><a class="el" href="group__lattices.html">Lattice methods</a></div></div> </div>
</div><!--header-->
<div class="contents">
<p>Trigeorgis (additive equal jumps) binomial tree
<a href="class_quant_lib_1_1_trigeorgis.html#details">More...</a></p>
<p><code>#include <ql/methods/lattices/binomialtree.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for Trigeorgis:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_trigeorgis__inherit__graph.png" border="0" usemap="#a_trigeorgis_inherit__map" alt="Inheritance graph"/></div>
<map name="_trigeorgis_inherit__map" id="a_trigeorgis_inherit__map">
<area shape="rect" title="Trigeorgis (additive equal jumps) binomial tree" alt="" coords="55,169,134,196"/>
<area shape="rect" href="class_quant_lib_1_1_equal_jumps_binomial_tree.html" title=" " alt="" coords="9,80,180,121"/>
<area shape="rect" href="class_quant_lib_1_1_binomial_tree.html" title=" " alt="" coords="5,5,184,32"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:ae53e262a2e2c9fcf48027a71595a64c1"><td class="memItemLeft" align="right" valign="top"><a id="ae53e262a2e2c9fcf48027a71595a64c1"></a>
 </td><td class="memItemRight" valign="bottom"><b>Trigeorgis</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> end, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> steps, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike)</td></tr>
<tr class="separator:ae53e262a2e2c9fcf48027a71595a64c1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_equal_jumps_binomial_tree.html">EqualJumpsBinomialTree< Trigeorgis ></a></td></tr>
<tr class="memitem:a4e0866e7bbd0676baa8673c88c297589 inherit pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a4e0866e7bbd0676baa8673c88c297589"></a>
 </td><td class="memItemRight" valign="bottom"><b>EqualJumpsBinomialTree</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &process, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> end, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> steps)</td></tr>
<tr class="separator:a4e0866e7bbd0676baa8673c88c297589 inherit pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9c660cefba93734dec67bf2180b51689 inherit pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a9c660cefba93734dec67bf2180b51689"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>underlying</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index) const</td></tr>
<tr class="separator:a9c660cefba93734dec67bf2180b51689 inherit pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9dddb15a084664a8b6e35266f4e40100 inherit pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a9dddb15a084664a8b6e35266f4e40100"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>probability</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) const</td></tr>
<tr class="separator:a9dddb15a084664a8b6e35266f4e40100 inherit pub_methods_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_binomial_tree"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_binomial_tree')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_binomial_tree.html">BinomialTree< Trigeorgis ></a></td></tr>
<tr class="memitem:a958029f8dc7ab003bebae560e2e7f14f inherit pub_methods_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a958029f8dc7ab003bebae560e2e7f14f"></a>
 </td><td class="memItemRight" valign="bottom"><b>BinomialTree</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process1_d.html">StochasticProcess1D</a> > &process, <a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> end, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> steps)</td></tr>
<tr class="separator:a958029f8dc7ab003bebae560e2e7f14f inherit pub_methods_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aeb4f25e4b90d3059100df693c425563f inherit pub_methods_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="aeb4f25e4b90d3059100df693c425563f"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>size</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i) const</td></tr>
<tr class="separator:aeb4f25e4b90d3059100df693c425563f inherit pub_methods_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2eee154afd6c5287ac501c8271229427 inherit pub_methods_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a2eee154afd6c5287ac501c8271229427"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>descendant</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> index, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> branch) const</td></tr>
<tr class="separator:a2eee154afd6c5287ac501c8271229427 inherit pub_methods_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_tree"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_tree')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_tree.html">Tree< Trigeorgis ></a></td></tr>
<tr class="memitem:a8fe1055f39c1f80fd420458fe249fd99 inherit pub_methods_class_quant_lib_1_1_tree"><td class="memItemLeft" align="right" valign="top"><a id="a8fe1055f39c1f80fd420458fe249fd99"></a>
 </td><td class="memItemRight" valign="bottom"><b>Tree</b> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> columns)</td></tr>
<tr class="separator:a8fe1055f39c1f80fd420458fe249fd99 inherit pub_methods_class_quant_lib_1_1_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a86a771d47cf764c4ef43aab250442fda inherit pub_methods_class_quant_lib_1_1_tree"><td class="memItemLeft" align="right" valign="top"><a id="a86a771d47cf764c4ef43aab250442fda"></a>
<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>columns</b> () const</td></tr>
<tr class="separator:a86a771d47cf764c4ef43aab250442fda inherit pub_methods_class_quant_lib_1_1_tree"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_binomial_tree"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_binomial_tree')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_binomial_tree.html">BinomialTree< Trigeorgis ></a></td></tr>
<tr class="memitem:a617aa1e32f64a3e471e0facc2b9c63f0 inherit pub_types_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a617aa1e32f64a3e471e0facc2b9c63f0"></a>enum  </td><td class="memItemRight" valign="bottom"><b>Branches</b> </td></tr>
<tr class="separator:a617aa1e32f64a3e471e0facc2b9c63f0 inherit pub_types_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_curiously_recurring_template')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_curiously_recurring_template.html">CuriouslyRecurringTemplate< Trigeorgis ></a></td></tr>
<tr class="memitem:af644e65b081eafdcfdf59fed1e0d50ff inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memItemLeft" align="right" valign="top"><a id="af644e65b081eafdcfdf59fed1e0d50ff"></a>
<a class="el" href="class_quant_lib_1_1_trigeorgis.html">Trigeorgis</a> & </td><td class="memItemRight" valign="bottom"><b>impl</b> ()</td></tr>
<tr class="separator:af644e65b081eafdcfdf59fed1e0d50ff inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a347ce8909f609d980047e6d1a8c6c444 inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memItemLeft" align="right" valign="top"><a id="a347ce8909f609d980047e6d1a8c6c444"></a>
const <a class="el" href="class_quant_lib_1_1_trigeorgis.html">Trigeorgis</a> & </td><td class="memItemRight" valign="bottom"><b>impl</b> () const</td></tr>
<tr class="separator:a347ce8909f609d980047e6d1a8c6c444 inherit pro_methods_class_quant_lib_1_1_curiously_recurring_template"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_equal_jumps_binomial_tree.html">EqualJumpsBinomialTree< Trigeorgis ></a></td></tr>
<tr class="memitem:ad8c571c3fb4003f56e31ff01a371fe30 inherit pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="ad8c571c3fb4003f56e31ff01a371fe30"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>dx_</b></td></tr>
<tr class="separator:ad8c571c3fb4003f56e31ff01a371fe30 inherit pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a12eb865f529d1a229999534c74fee43b inherit pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a12eb865f529d1a229999534c74fee43b"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>pu_</b></td></tr>
<tr class="separator:a12eb865f529d1a229999534c74fee43b inherit pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a50ade66877e89aa9b7d723ecb6d9d428 inherit pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a50ade66877e89aa9b7d723ecb6d9d428"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>pd_</b></td></tr>
<tr class="separator:a50ade66877e89aa9b7d723ecb6d9d428 inherit pro_attribs_class_quant_lib_1_1_equal_jumps_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_binomial_tree"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_binomial_tree')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_binomial_tree.html">BinomialTree< Trigeorgis ></a></td></tr>
<tr class="memitem:afb597b35edab96eecbcbf9a2df04f05d inherit pro_attribs_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="afb597b35edab96eecbcbf9a2df04f05d"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>x0_</b></td></tr>
<tr class="separator:afb597b35edab96eecbcbf9a2df04f05d inherit pro_attribs_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a1f3db9657071c9b664b10313f33717ca inherit pro_attribs_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a1f3db9657071c9b664b10313f33717ca"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>driftPerStep_</b></td></tr>
<tr class="separator:a1f3db9657071c9b664b10313f33717ca inherit pro_attribs_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a6be603d8547f31e72817d2aaf219e325 inherit pro_attribs_class_quant_lib_1_1_binomial_tree"><td class="memItemLeft" align="right" valign="top"><a id="a6be603d8547f31e72817d2aaf219e325"></a>
<a class="el" href="group__types.html#ga14fb8fca43a68f4168654e1f9f7e22f7">Time</a> </td><td class="memItemRight" valign="bottom"><b>dt_</b></td></tr>
<tr class="separator:a6be603d8547f31e72817d2aaf219e325 inherit pro_attribs_class_quant_lib_1_1_binomial_tree"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Trigeorgis (additive equal jumps) binomial tree </p>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
