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Tree approximating a single-factor diffusion

Derived classes must implement the following interface:

public:
  Real underlying(Size i, Size index) const;
  Size size(Size i) const;
  Size descendant(Size i, Size index, Size branch) const;
  Real probability(Size i, Size index, Size branch) const;

and provide a public enumeration

enum { branches = N };

where N is a suitable constant (2 for binomial, 3 for trinomial...)

Type parameters

Hierarchy

Implements

Index

Properties

Methods

Properties

Private _columns

_columns: Size

Methods

columns

  • Returns Size

impl

  • impl(): any

init

  • Parameters

    Returns Tree<T>