Tian Class Reference

#include <binomialtree.hpp>

Inheritance diagram for Tian:

Inheritance graph
[legend]
List of all members.

Detailed Description

Tian tree: third moment matching, multiplicative approach.


Public Member Functions

 Tian (const Handle< DiffusionProcess > &process, Time end, Size steps)
double underlying (Size i, Size index) const
double probability (Size, Size, Size) const

Protected Attributes

double up_
double down_
double pu_
double pd_


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen