ExtendedJarrowRudd Class Reference
[Lattice methods]

Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...

#include <ql/experimental/lattices/extendedbinomialtree.hpp>

Inheritance diagram for ExtendedJarrowRudd:

List of all members.

Public Member Functions

 ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike)

Protected Member Functions

Real upStep (Time stepTime) const


Detailed Description

Jarrow-Rudd (multiplicative) equal probabilities binomial tree.