Recombining trinomial tree class. More...
#include <ql/methods/lattices/trinomialtree.hpp>
Inheritance diagram for TrinomialTree:Public Types | |
| enum | Branches { branches = 3 } |
Public Member Functions | |
| TrinomialTree (const ext::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false) | |
| Real | dx (Size i) const |
| const TimeGrid & | timeGrid () const |
| Size | size (Size i) const |
| Real | underlying (Size i, Size index) const |
| Size | descendant (Size i, Size index, Size branch) const |
| Real | probability (Size i, Size index, Size branch) const |
Public Member Functions inherited from Tree< TrinomialTree > | |
| Tree (Size columns) | |
| Size | columns () const |
Protected Attributes | |
| std::vector< Branching > | branchings_ |
| Real | x0_ |
| std::vector< Real > | dx_ |
| TimeGrid | timeGrid_ |
Additional Inherited Members | |
Protected Member Functions inherited from CuriouslyRecurringTemplate< TrinomialTree > | |
| TrinomialTree & | impl () |
| const TrinomialTree & | impl () const |
Recombining trinomial tree class.
This class defines a recombining trinomial tree approximating a 1-D stochastic process.