ExtendedJarrowRudd Class Reference
[Lattice methods]
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.
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#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Inheritance diagram for ExtendedJarrowRudd:

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.