- QuantLib
- ExtendedJarrowRudd
Jarrow-Rudd (multiplicative) equal probabilities binomial tree. More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>
Public Member Functions | |
ExtendedJarrowRudd (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
Protected Member Functions | |
Real | upStep (Time stepTime) const |
Jarrow-Rudd (multiplicative) equal probabilities binomial tree.