QuantLib_ExtendedTrigeorgis

Langue: en

Autres versions - même langue

Version: 378673 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ExtendedTrigeorgis -

Trigeorgis (additive equal jumps) binomial tree

SYNOPSIS


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

Inherits ExtendedEqualJumpsBinomialTree< ExtendedTrigeorgis >.

Public Member Functions


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

Protected Member Functions


Real dxStep (Time stepTime) const

Real probUp (Time stepTime) const

Detailed Description

Trigeorgis (additive equal jumps) binomial tree

Author

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