ExtendedCoxRossRubinstein Class Reference

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree. More...

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

Inheritance diagram for ExtendedCoxRossRubinstein:

List of all members.

Public Member Functions

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

Protected Member Functions

Real dxStep (Time stepTime) const
Real probUp (Time stepTime) const

Detailed Description

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree.