TrinomialTree Class Reference#include <ql/Lattices/trinomialtree.hpp>
Inheritance diagram for TrinomialTree:
[legend]List of all members.
Detailed Description
Recombining trinomial tree class.
This class defines a recombining trinomial tree approximating a a diffusion. - Warning:
- The diffusion term of the SDE must be independent of the underlying process.
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Public Member Functions |
| TrinomialTree (const Handle< DiffusionProcess > &process, const TimeGrid &timeGrid, bool isPositive=false) |
double | dx (Size i) const |
Size | size (Size i) const |
double | underlying (Size i, Size index) const |
const TimeGrid & | timeGrid () const |
Size | descendant (Size i, Size index, Size branch) const |
double | probability (Size i, Size index, Size branch) const |
Protected Attributes |
std::vector< Handle< TrinomialBranching > > | branchings_ |
double | x0_ |
std::vector< double > | dx_ |
TimeGrid | timeGrid_ |
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