Leisen & Reimer tree: multiplicative approach. More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
 Inheritance diagram for ExtendedLeisenReimer:
 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 | 
|  Public Member Functions inherited from ExtendedBinomialTree< ExtendedLeisenReimer > | |
| ExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps) | |
| Size | size (Size i) const | 
| Size | descendant (Size, Size index, Size branch) const | 
|  Public Member Functions inherited from Tree< ExtendedLeisenReimer > | |
| Tree (Size columns) | |
| Size | columns () const | 
| Protected Attributes | |
| Time | end_ | 
| Size | oddSteps_ | 
| Real | strike_ | 
| Real | up_ | 
| Real | down_ | 
| Real | pu_ | 
| Real | pd_ | 
|  Protected Attributes inherited from ExtendedBinomialTree< ExtendedLeisenReimer > | |
| Real | x0_ | 
| Real | driftPerStep_ | 
| Time | dt_ | 
| boost::shared_ptr< StochasticProcess1D > | treeProcess_ | 
| Additional Inherited Members | |
|  Public Types inherited from ExtendedBinomialTree< ExtendedLeisenReimer > | |
| enum | Branches | 
|  Protected Member Functions inherited from ExtendedBinomialTree< ExtendedLeisenReimer > | |
| Real | driftStep (Time driftTime) const | 
|  Protected Member Functions inherited from CuriouslyRecurringTemplate< ExtendedLeisenReimer > | |
| ExtendedLeisenReimer & | impl () | 
| const ExtendedLeisenReimer & | impl () const | 
Leisen & Reimer tree: multiplicative approach.