- QuantLib
- Tian
Tian tree: third moment matching, multiplicative approach More...
#include <ql/methods/lattices/binomialtree.hpp>
Public Member Functions | |
Tian (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
Real | underlying (Size i, Size index) const |
Real | probability (Size, Size, Size branch) const |
Protected Attributes | |
Real | up_ |
Real | down_ |
Real | pu_ |
Real | pd_ |
Tian tree: third moment matching, multiplicative approach