ExtendedTian Class Reference
Tian tree: third moment matching, multiplicative approach More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inheritance diagram for ExtendedTian:

Public Member Functions | |
ExtendedTian (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 | |
Real | up_ |
Real | down_ |
Real | pu_ |
Real | pd_ |
Detailed Description
Tian tree: third moment matching, multiplicative approach