QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

LeisenReimer Class Reference #include <ql/Lattices/binomialtree.hpp> Inheritance diagram for LeisenReimer: [legend]List of all members. Detailed Description Leisen & Reimer tree: multiplicative approach. Public Member Functions   LeisenReimer (const Handle< DiffusionProcess > &process, Time end, Size steps, double strike) double  underlying (Size i, Size index) const double  probability (Size, Size, Size) const Protected Attributes double  up_ double  down_ double  pu_ double  pd_

---

QuantLib.org

Hosted by

Documentation generated by