QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | Protected Member Functions | List of all members
ExtendedCoxRossRubinstein Class Reference

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

+ Inheritance diagram for ExtendedCoxRossRubinstein:

Public Member Functions

 ExtendedCoxRossRubinstein (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
 
- Public Member Functions inherited from ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >
 ExtendedEqualJumpsBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
 
Real underlying (Size i, Size index) const
 
Real probability (Size i, Size, Size branch) const
 
- Public Member Functions inherited from ExtendedBinomialTree< ExtendedCoxRossRubinstein >
 ExtendedBinomialTree (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< ExtendedCoxRossRubinstein >
 Tree (Size columns)
 
Size columns () const
 

Protected Member Functions

Real dxStep (Time stepTime) const
 
Real probUp (Time stepTime) const
 
- Protected Member Functions inherited from ExtendedBinomialTree< ExtendedCoxRossRubinstein >
Real driftStep (Time driftTime) const
 
- Protected Member Functions inherited from CuriouslyRecurringTemplate< ExtendedCoxRossRubinstein >
ExtendedCoxRossRubinsteinimpl ()
 
const ExtendedCoxRossRubinsteinimpl () const
 

Additional Inherited Members

- Public Types inherited from ExtendedBinomialTree< ExtendedCoxRossRubinstein >
enum  Branches
 
- Protected Attributes inherited from ExtendedEqualJumpsBinomialTree< ExtendedCoxRossRubinstein >
Real dx_
 
Real pu_
 
Real pd_
 
- Protected Attributes inherited from ExtendedBinomialTree< ExtendedCoxRossRubinstein >
Real x0_
 
Real driftPerStep_
 
Time dt_
 
boost::shared_ptr< StochasticProcess1DtreeProcess_
 

Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.