org.jquantlib.methods.lattices

Class LeisenReimer

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.methods.lattices.BinomialTree

org.jquantlib.methods.lattices.LeisenReimer

public class LeisenReimer
extends BinomialTree

Leisen & Reimer tree: multiplicative approach

Field Summary

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

branches

Constructor Summary

Constructors

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

Method Summary

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

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

LeisenReimer

public LeisenReimer(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 n,
                          int m,
                          int branch)

Specified by:

probability in class Tree