org.jquantlib.experimental.lattices

Class ExtendedJarrowRudd

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.experimental.lattices.ExtendedBinomialTree

org.jquantlib.experimental.lattices.ExtendedEqualProbabilitiesBinomialTree

org.jquantlib.experimental.lattices.ExtendedJarrowRudd

public class ExtendedJarrowRudd
extends ExtendedEqualProbabilitiesBinomialTree

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree

Constructor Summary

Constructors

Constructor and Description
ExtendedJarrowRudd(StochasticProcess1D process, double end, int steps, double strike)

Method Summary

Methods inherited from class org.jquantlib.experimental.lattices.ExtendedEqualProbabilitiesBinomialTree

probability, underlying

Methods inherited from class org.jquantlib.experimental.lattices.ExtendedBinomialTree

descendant, size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ExtendedJarrowRudd

public ExtendedJarrowRudd(StochasticProcess1D process,
                          double end,
                          int steps,
                          double strike)