Recombining trinomial tree class. More...

#include <ql/methods/lattices/trinomialtree.hpp>

Inheritance diagram for TrinomialTree:

List of all members.

Public Types

enum  Branches { branches = 3 }

Public Member Functions

 TrinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, const TimeGrid &timeGrid, bool isPositive=false)
Real dx (Size i) const
const TimeGridtimeGrid () 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

Protected Attributes

std::vector< Branching > branchings_
Real x0_
std::vector< Realdx_
TimeGrid timeGrid_

Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a 1-D stochastic process.

Warning:
The diffusion term of the SDE must be independent of the underlying process.