QuantLib: ExtendedLeisenReimer Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | Protected Attributes | List of all members
ExtendedLeisenReimer Class Reference
Lattice methods

Leisen & Reimer tree: multiplicative approach. More...

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

Inheritance diagram for ExtendedLeisenReimer:
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## 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
Public Member Functions inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
| ExtendedBinomialTree (const boost::shared_ptr< StochasticProcess1D > &process, Time end, Size steps)
Size | size (Size i) const
Size | descendant (Size, Size index, Size branch) const
Public Member Functions inherited from Tree< ExtendedLeisenReimer >
| Tree (Size columns)
Size | columns () const

## Protected Attributes
Time | end_
Size | oddSteps_
Real | strike_
Real | up_
Real | down_
Real | pu_
Real | pd_
Protected Attributes inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
Real | x0_
Real | driftPerStep_
Time | dt_
boost::shared_ptr< StochasticProcess1D > | treeProcess_

## Additional Inherited Members
Public Types inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
enum | Branches
Protected Member Functions inherited from ExtendedBinomialTree< ExtendedLeisenReimer >
Real | driftStep (Time driftTime) const
Protected Member Functions inherited from CuriouslyRecurringTemplate< ExtendedLeisenReimer >
ExtendedLeisenReimer & | impl ()
const ExtendedLeisenReimer & | impl () const

## Detailed Description

Leisen & Reimer tree: multiplicative approach.