ExtendedJarrowRudd Class Reference

Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...

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

Inheritance diagram for ExtendedJarrowRudd:

Public Member Functions

 ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)
 
- Public Member Functions inherited from ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >
 ExtendedEqualProbabilitiesBinomialTree (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 ExtendedBinomialTree< ExtendedJarrowRudd >
 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< ExtendedJarrowRudd >
 Tree (Size columns)
 
Size columns () const
 

Protected Member Functions

Real upStep (Time stepTime) const
 

Additional Inherited Members

- Public Types inherited from ExtendedBinomialTree< ExtendedJarrowRudd >
enum  Branches
 
- Protected Attributes inherited from ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >
Real up_
 

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.