Class CoxRossRubinstein

Cox-Ross-Rubinstein (multiplicative) equal jumps binomial tree

Hierarchy

EqualJumpsBinomialTree<CoxRossRubinstein>
- CoxRossRubinstein

Implements

ICuriouslyRecurringTemplate

Index

Properties

Methods

Properties

Protected _driftPerStep

_driftPerStep: Real

Protected _dt

_dt: Time

Protected _dx

_dx: Real

Protected _pd

_pd: Real

Protected _pu

_pu: Real

Protected _x0

_x0: Real

Methods

btInit

btInit(process: StochasticProcess1D, end: Time, steps: Size): BinomialTree<CoxRossRubinstein>

Inherited from BinomialTree.btInit
- Defined in ql/methods/lattices/binomialtree.ts:16
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
Returns BinomialTree<CoxRossRubinstein>

columns

columns(): Size

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

descendant

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

Inherited from BinomialTree.descendant
- Defined in ql/methods/lattices/binomialtree.ts:30
Parameters
- i: Size
- index: Size
- branch: Size
Returns Size

ejInit

ejInit(process: StochasticProcess1D, end: Time, steps: Size): EqualJumpsBinomialTree<CoxRossRubinstein>

Inherited from EqualJumpsBinomialTree.ejInit
- Defined in ql/methods/lattices/binomialtree.ts:74
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
Returns EqualJumpsBinomialTree<CoxRossRubinstein>

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<CoxRossRubinstein>

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

probability

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

Inherited from EqualJumpsBinomialTree.probability
- Defined in ql/methods/lattices/binomialtree.ts:86
Parameters
- i: Size
- index: Size
- branch: Size
Returns Real

size

size(i: Size): Size

Inherited from BinomialTree.size
- Defined in ql/methods/lattices/binomialtree.ts:26
Parameters
- i: Size
Returns Size

treeInit

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

- Defined in ql/methods/lattices/binomialtree.ts:116
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
- strike: Real
Returns CoxRossRubinstein

underlying

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

Inherited from EqualJumpsBinomialTree.underlying
- Defined in ql/methods/lattices/binomialtree.ts:80
Parameters
- i: Size
- index: Size
Returns Real