Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
#include <ql/methods/lattices/binomialtree.hpp>
Inheritance diagram for JarrowRudd:Public Member Functions | |
| JarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
Public Member Functions inherited from EqualProbabilitiesBinomialTree< JarrowRudd > | |
| EqualProbabilitiesBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) | |
| Real | underlying (Size i, Size index) const |
| Real | probability (Size, Size, Size) const |
Public Member Functions inherited from BinomialTree< JarrowRudd > | |
| BinomialTree (const boost::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< JarrowRudd > | |
| Tree (Size columns) | |
| Size | columns () const |
Additional Inherited Members | |
Public Types inherited from BinomialTree< JarrowRudd > | |
| enum | Branches |
Protected Member Functions inherited from CuriouslyRecurringTemplate< JarrowRudd > | |
| JarrowRudd & | impl () |
| const JarrowRudd & | impl () const |
Protected Attributes inherited from EqualProbabilitiesBinomialTree< JarrowRudd > | |
| Real | up_ |
Protected Attributes inherited from BinomialTree< JarrowRudd > | |
| Real | x0_ |
| Real | driftPerStep_ |
| Time | dt_ |
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.