- QuantLib
- Tree
Tree approximating a single-factor diffusion More...
#include <ql/methods/lattices/tree.hpp>
Public Member Functions | |
Tree (Size columns) | |
Size | columns () const |
Tree approximating a single-factor diffusion
Derived classes must implement the following interface:
public: Real underlying(Size i, Size index) const; Size size(Size i) const; Size descendant(Size i, Size index, Size branch) const; Real probability(Size i, Size index, Size branch) const;
and provide a public enumeration
enum { branches = N };
where N is a suitable constant (2 for binomial, 3 for trinomial...)