TrinomialTree Class Reference
[Lattice methods]

#include <ql/methods/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 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 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< Real > dx_
TimeGrid timeGrid_