org.jquantlib.methods.lattices

Class JarrowRudd

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.methods.lattices.BinomialTree

org.jquantlib.methods.lattices.EqualProbabilitiesBinomialTree

org.jquantlib.methods.lattices.JarrowRudd

public class JarrowRudd
extends EqualProbabilitiesBinomialTree

Jarrow-Rudd (multiplicative) equal probabilities binomial tree

Field Summary

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

branches

Constructor Summary

Constructors

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

Method Summary

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

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

JarrowRudd

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