ExtendedLeisenReimer Class Reference
[Lattice methods]

Leisen & Reimer tree: multiplicative approach. More...

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

Inheritance diagram for ExtendedLeisenReimer:

List of all members.

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

Protected Attributes

Time end_
Size oddSteps_
Real strike_
Real up_
Real down_
Real pu_
Real pd_


Detailed Description

Leisen & Reimer tree: multiplicative approach.