org.jquantlib.experimental.lattices

Class ExtendedLeisenReimer

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.experimental.lattices.ExtendedBinomialTree

org.jquantlib.experimental.lattices.ExtendedLeisenReimer

public class ExtendedLeisenReimer
extends ExtendedBinomialTree

Leisen & Reimer tree: multiplicative approach

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	probability(int i, int ref, int branch)
double	underlying(int i, int index)

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

ExtendedLeisenReimer

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

Method Detail

underlying

public double underlying(int i,
                         int index)

Specified by:

underlying in class Tree

probability

public double probability(int i,
                          int ref,
                          int branch)

Specified by:

probability in class Tree