ExtendedLeisenReimer Class Reference
[Lattice methods]
Leisen & Reimer tree: multiplicative approach.
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#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inheritance diagram for ExtendedLeisenReimer:

Public Member Functions | |
| ExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
| Real | underlying (Size i, Size index) const |
| Real | probability (Size, Size, Size branch) const |
Protected Attributes | |
| Time | end_ |
| Size | oddSteps_ |
| Real | strike_ |
| Real | up_ |
| Real | down_ |
| Real | pu_ |
| Real | pd_ |
Detailed Description
Leisen & Reimer tree: multiplicative approach.