QuantLib_Tian

Langue: en

Autres versions - même langue

Version: 375661 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::Tian -

Tian tree: third moment matching, multiplicative approach

SYNOPSIS


#include <ql/methods/lattices/binomialtree.hpp>

Inherits BinomialTree< Tian >.

Public Member Functions


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

Real underlying (Size i, Size index) const

Real probability (Size, Size, Size branch) const

Protected Attributes


Real up_

Real down_

Real pu_

Real pd_

Detailed Description

Tian tree: third moment matching, multiplicative approach

Author

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