org.jquantlib.methods.lattices

Class CoxRossRubinstein

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.methods.lattices.BinomialTree

org.jquantlib.methods.lattices.EqualJumpsBinomialTree

org.jquantlib.methods.lattices.CoxRossRubinstein

public class CoxRossRubinstein
extends EqualJumpsBinomialTree

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

Field Summary

Fields inherited from class org.jquantlib.methods.lattices.BinomialTree

branches

Constructor Summary

Constructors

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

Method Summary

Methods inherited from class org.jquantlib.methods.lattices.EqualJumpsBinomialTree

probability, underlying

Methods inherited from class org.jquantlib.methods.lattices.BinomialTree

descendant, size

Methods inherited from class java.lang.Object

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

Constructor Detail

CoxRossRubinstein

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