QuantLib_ExtendedJarrowRudd

Langue: en

Autres versions - même langue

Version: 380337 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ExtendedJarrowRudd -

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

SYNOPSIS


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

Inherits ExtendedEqualProbabilitiesBinomialTree< ExtendedJarrowRudd >.

Public Member Functions


ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)

Protected Member Functions


Real upStep (Time stepTime) const

Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.

Author

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