Class JarrowRudd

Jarrow-Rudd (multiplicative) equal probabilities binomial tree

Hierarchy

EqualProbabilitiesBinomialTree<JarrowRudd>
- JarrowRudd

Implements

ICuriouslyRecurringTemplate

Index

Properties

Methods

Properties

Protected _driftPerStep

_driftPerStep: Real

Protected _dt

_dt: Time

Protected _up

_up: Real

Protected _x0

_x0: Real

Methods

btInit

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

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

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

epbtInit

epbtInit(process: StochasticProcess1D, end: Time, steps: Size): EqualProbabilitiesBinomialTree<JarrowRudd>

Inherited from EqualProbabilitiesBinomialTree.epbtInit
- Defined in ql/methods/lattices/binomialtree.ts:49
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
Returns EqualProbabilitiesBinomialTree<JarrowRudd>

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<JarrowRudd>

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

probability

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

Inherited from EqualProbabilitiesBinomialTree.probability
- Defined in ql/methods/lattices/binomialtree.ts:61
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): JarrowRudd

- Defined in ql/methods/lattices/binomialtree.ts:100
Parameters
- process: StochasticProcess1D
- end: Time
- steps: Size
- strike: Real
Returns JarrowRudd

underlying

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

Inherited from EqualProbabilitiesBinomialTree.underlying
- Defined in ql/methods/lattices/binomialtree.ts:55
Parameters
- i: Size
- index: Size
Returns Real