TrinomialTree Class Reference

#include <ql/Lattices/trinomialtree.hpp>

Inheritance diagram for TrinomialTree:

Inheritance graph
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List of all members.

Detailed Description

Recombining trinomial tree class.

This class defines a recombining trinomial tree approximating a a diffusion.

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


Public Member Functions

 TrinomialTree (const Handle< DiffusionProcess > &process, const TimeGrid &timeGrid, bool isPositive=false)
double dx (Size i) const
Size size (Size i) const
double underlying (Size i, Size index) const
const TimeGridtimeGrid () const
Size descendant (Size i, Size index, Size branch) const
double probability (Size i, Size index, Size branch) const

Protected Attributes

std::vector< Handle< TrinomialBranching > > branchings_
double x0_
std::vector< double > dx_
TimeGrid timeGrid_


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