ExtendedLeisenReimer

NAME

ExtendedLeisenReimer − Leisen & Reimer tree: multiplicative approach.

SYNOPSIS

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

Inherits ExtendedBinomialTree< ExtendedLeisenReimer >.

Public Member Functions

ExtendedLeisenReimer (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

Time end_
Size oddSteps_
Real strike_
Real up_
Real down_
Real pu_
Real pd_

Additional Inherited Members

Detailed Description

Leisen & Reimer tree: multiplicative approach.

Author

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