ExtendedTian Class Reference

Tian tree: third moment matching, multiplicative approach More...

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

Inheritance diagram for ExtendedTian:

List of all members.

Public Member Functions

 ExtendedTian (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

Real up_
Real down_
Real pu_
Real pd_

Detailed Description

Tian tree: third moment matching, multiplicative approach