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binomialtree.hpp

NAME

ql/methods/lattices/binomialtree.hpp -

Binomial tree class.

SYNOPSIS

#include <ql/methods/lattices/tree.hpp>
#include <ql/instruments/dividendschedule.hpp>
#include <ql/stochasticprocess.hpp>

Classes

class BinomialTree< T >
Binomial tree base class.
class EqualProbabilitiesBinomialTree< T >
Base class for equal probabilities binomial tree.
class EqualJumpsBinomialTree< T >
Base class for equal jumps binomial tree.
class JarrowRudd
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
class CoxRossRubinstein
Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.
class AdditiveEQPBinomialTree
Additive equal probabilities binomial tree.
class Trigeorgis
Trigeorgis (additive equal jumps) binomial tree
class Tian
Tian tree: third moment matching, multiplicative approach
class LeisenReimer
Leisen & Reimer tree: multiplicative approach.

Detailed Description

Binomial tree class.

Author

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