LeisenReimer Class Reference
[Lattice methods]

#include <ql/Lattices/binomialtree.hpp>

Inheritance diagram for LeisenReimer:

Inheritance graph
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List of all members.

Detailed Description

Leisen & Reimer tree: multiplicative approach.


Public Member Functions

 LeisenReimer (const boost::shared_ptr< StochasticProcess > &process, Time end, Size steps, Real strike)
Real underlying (Size i, Size index) const
Real probability (Size, Size, Size) const

Protected Attributes

Real up_
Real down_
Real pu_
Real pd_


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