org.jquantlib.experimental.lattices

Class ExtendedTian

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.experimental.lattices.ExtendedBinomialTree

org.jquantlib.experimental.lattices.ExtendedTian

public class ExtendedTian
extends ExtendedBinomialTree

Tian tree: third moment matching, multiplicative approach

Constructor Summary

Constructors

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

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

ExtendedTian

public ExtendedTian(StochasticProcess1D process,
                    double end,
                    int steps)

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