- QuantLib
- ExtendedLeisenReimer
 
Leisen & Reimer tree: multiplicative approach. More...
#include <ql/experimental/lattices/extendedbinomialtree.hpp>

| Public Member Functions | |
| ExtendedLeisenReimer (const boost::shared_ptr< StochasticProcess1D > &, Time end, Size steps, Real strike) | |
| Real | underlying (Size i, Size index) const | 
| Real | probability (Size, Size, Size branch) const | 
| Protected Attributes | |
| Time | end_ | 
| Size | oddSteps_ | 
| Real | strike_ | 
| Real | up_ | 
| Real | down_ | 
| Real | pu_ | 
| Real | pd_ | 
Leisen & Reimer tree: multiplicative approach.