Class ExtendedJarrowRudd

Hierarchy

ExtendedEqualProbabilitiesBinomialTree<ExtendedJarrowRudd>
- ExtendedJarrowRudd

Implements

ICuriouslyRecurringTemplate

Index

Properties

Methods

Properties

Protected _driftPerStep

_driftPerStep: Real

Protected _dt

_dt: Time

Protected _treeProcess

_treeProcess: StochasticProcess1D

Protected _up

_up: Real

Protected _x0

_x0: Real

Methods

columns

columns(): Size

Inherited from Tree.columns
- Defined in ql/methods/lattices/tree.ts:34
Returns Size

descendant

descendant(x: Size, index: Size, branch: Size): Size

Inherited from ExtendedBinomialTree.descendant
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:28
Parameters
- x: Size
- index: Size
- branch: Size
Returns Size

Protected driftStep

driftStep(driftTime: Time): Real

Inherited from ExtendedBinomialTree.driftStep
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:32
Parameters
- driftTime: Time
Returns Real

ebtInit

ebtInit(process: StochasticProcess1D, end: Time, steps: Size): ExtendedBinomialTree<ExtendedJarrowRudd>

Inherited from ExtendedBinomialTree.ebtInit
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:14
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
Returns ExtendedBinomialTree<ExtendedJarrowRudd>

impl

impl(): any

Implementation of ICuriouslyRecurringTemplate.impl

Inherited from CuriouslyRecurringTemplate.impl
- Defined in ql/patterns/curiouslyrecurring.ts:22
Returns any

init

init(columns: Size): Tree<ExtendedJarrowRudd>

Inherited from Tree.init
- Defined in ql/methods/lattices/tree.ts:29
Parameters
- columns: Size
Returns Tree<ExtendedJarrowRudd>

probability

probability(i: Size, index: Size, branch: Size): Real

Inherited from ExtendedEqualProbabilitiesBinomialTree.probability
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:53
Parameters
- i: Size
- index: Size
- branch: Size
Returns Real

size

size(i: Size): Size

Inherited from ExtendedBinomialTree.size
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:24
Parameters
- i: Size
Returns Size

treeInit

treeInit(process: StochasticProcess1D, end: Time, steps: Size, strike: Real): ExtendedJarrowRudd

- Defined in ql/experimental/lattices/extendedbinomialtree.ts:96
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
- strike: Real
Returns ExtendedJarrowRudd

underlying

underlying(i: Size, index: Size): Real

Inherited from ExtendedEqualProbabilitiesBinomialTree.underlying
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:45
Parameters
- i: Size
- index: Size
Returns Real

upStep

upStep(stepTime: Time): Real

Overrides ExtendedEqualProbabilitiesBinomialTree.upStep
- Defined in ql/experimental/lattices/extendedbinomialtree.ts:105
Parameters
- stepTime: Time
Returns Real