QuantLib: LeisenReimer Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

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

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

`#include <ql/methods/lattices/binomialtree.hpp>`

Inheritance diagram for LeisenReimer:
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## Public Member Functions
| LeisenReimer (const ext::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 BinomialTree< LeisenReimer >
| BinomialTree (const ext::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< LeisenReimer >
| Tree (Size columns)
Size | columns () const

## Protected Attributes
Real | up_
Real | down_
Real | pu_
Real | pd_
Protected Attributes inherited from BinomialTree< LeisenReimer >
Real | x0_
Real | driftPerStep_
Time | dt_

## Additional Inherited Members
Public Types inherited from BinomialTree< LeisenReimer >
enum | Branches
Protected Member Functions inherited from CuriouslyRecurringTemplate< LeisenReimer >
LeisenReimer & | impl ()
const LeisenReimer & | impl () const

## Detailed Description

Leisen & Reimer tree: multiplicative approach.