org.jquantlib.methods.lattices

Class Tian

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.methods.lattices.BinomialTree

org.jquantlib.methods.lattices.Tian

public class Tian
extends BinomialTree

Tian tree: third moment matching, multiplicative approach

Field Summary

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

branches

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method and Description
double	probability(int i, int index, 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

Tian

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

Method Detail

probability

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

Specified by:

probability in class Tree

underlying

public double underlying(int i,
                         int index)

Specified by:

underlying in class Tree