Class ExtendedLeisenReimer

Hierarchy

ExtendedBinomialTree<ExtendedLeisenReimer>
- ExtendedLeisenReimer

Implements

ICuriouslyRecurringTemplate

Index

Properties

Methods

Properties

Protected _down

_down: Real

Protected _driftPerStep

_driftPerStep: Real

Protected _dt

_dt: Time

Protected _end

_end: Time

Protected _oddSteps

_oddSteps: Size

Protected _pd

_pd: Real

Protected _pu

_pu: Real

Protected _strike

_strike: Real

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<ExtendedLeisenReimer>

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

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<ExtendedLeisenReimer>

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

probability

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

- Defined in ql/experimental/lattices/extendedbinomialtree.ts:308
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): ExtendedLeisenReimer

- Defined in ql/experimental/lattices/extendedbinomialtree.ts:263
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
- strike: Real
Returns ExtendedLeisenReimer

underlying

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

- Defined in ql/experimental/lattices/extendedbinomialtree.ts:289
Parameters
- i: Size
- index: Size
Returns Real