TrinomialTree Class Reference
[Lattice methods]
#include <ql/methods/lattices/trinomialtree.hpp>
Inheritance diagram for TrinomialTree:

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.
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 TimeGrid & | timeGrid () 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< Real > | dx_ |
TimeGrid | timeGrid_ |