LeisenReimer Class Reference

#include <ql/Lattices/binomialtree.hpp>

Inheritance diagram for LeisenReimer:

Inheritance graph
[legend]
List of all members.

Detailed Description

Leisen & Reimer tree: multiplicative approach.


Public Member Functions

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

Protected Attributes

double up_
double down_
double pu_
double pd_


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