binomialTree Class Reference

#include <binomialTree.h>

List of all members.

Public Member Functions
	binomialTree (void)
	default constructor
	binomialTree (Real So, Real r, Real sigma, Real T, Natural n)
	Constructor.
	binomialTree (Real So, Real r, Real sigma, Real T, Natural n, Real u, Real d)
	binomialTree (const asset &theAsset, yieldCurve &yc, Real T, Natural n)
	binomialTree (const binomialTree &rhs)
binomialTree &	operator= (const binomialTree &rhs)
virtual	~binomialTree (void)
const valarray< Real > *	getStockProcess (Natural step)
const valarray< Real > *	getClaimProcess (Natural step)
Real	getPrice ()
void	runEngineConvertibleBond (PayOff thePayoff, Real ConversionRatio, Real CallPrice, Real PutPrice)
void	runEngineCall (PayOff thePayoff)
Protected Member Functions
Real	getSo () const
Real	getRate (Natural timestep) const
Real	getSigma () const
Real	getMaturity () const
Natural	getSteps () const
void	constructStockProcess ()
void	setClaimVariables (Real constantRate)
void	setClaimVariables (yieldCurve &yc)
Private Member Functions
void	copyObj (const binomialTree &rhs)
Private Attributes
Real	_So
Real	_sigma
Real	_maturity
Natural	_n
Real	_dt
Real	_u
Real	_d
valarray< valarray< Real > >	_stockProcess
valarray< valarray< Real > >	_claimProcess
valarray< Real >	_discountFactor
valarray< Real >	_q
	risk neutral probability of an up move
Friends
ostream &	operator<< (ostream &os, const binomialTree &bt)
ostream &	operator<< (ostream &os, const binomialTree *bt)

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Constructor & Destructor Documentation

binomialTree::binomialTree (  void   )

default constructor Definition at line 3 of file binomialTree.cpp. References _d, _dt, _n, _sigma, _u, BT_DEFAULT_MATURITY, BT_DEFAULT_RATE, BT_DEFAULT_SIGMA, BT_DEFAULT_SO, BT_DEFAULT_STEPS, constructStockProcess(), and setClaimVariables().

binomialTree::binomialTree (  Real  So, Real  r, Real  sigma, Real  T, Natural  n )

Constructor. Definition at line 20 of file binomialTree.cpp. References _d, _dt, _u, constructStockProcess(), Natural, r, Real, and setClaimVariables().

binomialTree::binomialTree (  Real  So, Real  r, Real  sigma, Real  T, Natural  n, Real  u, Real  d )

Definition at line 56 of file binomialTree.cpp. References _dt, constructStockProcess(), Natural, r, Real, and setClaimVariables().

binomialTree::binomialTree (  const asset &  theAsset, yieldCurve &  yc, Real  T, Natural  n )

Definition at line 38 of file binomialTree.cpp. References _d, _dt, _sigma, _u, constructStockProcess(), Natural, Real, and setClaimVariables().

binomialTree::binomialTree (  const binomialTree &  rhs  )

Definition at line 91 of file binomialTree.cpp. References copyObj().

binomialTree::~binomialTree (  void   )  [virtual]

Definition at line 117 of file binomialTree.cpp.

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Member Function Documentation

void binomialTree::constructStockProcess (   )  [protected]

Definition at line 122 of file binomialTree.cpp. References _claimProcess, _d, _n, _So, _stockProcess, _u, and Natural. Referenced by binomialTree().

void binomialTree::copyObj (  const binomialTree &  rhs  )  [private]

Definition at line 102 of file binomialTree.cpp. References _claimProcess, _d, _discountFactor, _dt, _maturity, _n, _q, _sigma, _So, _stockProcess, and _u. Referenced by binomialTree(), and operator=().

const valarray< Real > * binomialTree::getClaimProcess (  Natural  step  )

Definition at line 149 of file binomialTree.cpp. References _claimProcess, _n, and Natural. Referenced by convertiblebond::fairvalue().

Real binomialTree::getMaturity (   )  const [inline, protected]

Definition at line 61 of file binomialTree.h. References Real. Referenced by operator<<().

Real binomialTree::getPrice (   )

Definition at line 157 of file binomialTree.cpp. References _claimProcess, and _n. Referenced by mainbinomialtree().

Real binomialTree::getRate (  Natural  timestep  )  const [inline, protected]

Definition at line 57 of file binomialTree.h. References _discountFactor, _n, Natural, and Real.

Real binomialTree::getSigma (   )  const [inline, protected]

Definition at line 60 of file binomialTree.h. References _sigma, and Real. Referenced by operator<<().

Real binomialTree::getSo (   )  const [inline, protected]

Definition at line 56 of file binomialTree.h. References _So, and Real. Referenced by operator<<().

Natural binomialTree::getSteps (   )  const [inline, protected]

Definition at line 62 of file binomialTree.h. References _n, and Natural. Referenced by operator<<().

const valarray< Real > * binomialTree::getStockProcess (  Natural  step  )

Definition at line 141 of file binomialTree.cpp. References _n, _stockProcess, and Natural. Referenced by mainbinomialtree().

binomialTree & binomialTree::operator= (  const binomialTree &  rhs  )

Definition at line 96 of file binomialTree.cpp. References copyObj().

void binomialTree::runEngineCall (  PayOff  thePayoff  )

Definition at line 195 of file binomialTree.cpp. References _claimProcess, _discountFactor, _n, _q, _stockProcess, PayOff::Call(), Integer, and Natural. Referenced by mainbinomialtree().

void binomialTree::runEngineConvertibleBond (  PayOff  thePayoff, Real  ConversionRatio, Real  CallPrice, Real  PutPrice )

Definition at line 214 of file binomialTree.cpp. References _claimProcess, _discountFactor, _n, _q, _stockProcess, PayOff::Convertible(), Integer, Natural, and Real. Referenced by convertiblebond::fairvalue().

void binomialTree::setClaimVariables (  yieldCurve &  yc  )  [protected]

Definition at line 84 of file binomialTree.cpp. References _d, _discountFactor, _dt, _n, _q, _u, yieldCurve::forwardDiscountFactor(), and Natural.

void binomialTree::setClaimVariables (  Real  constantRate  )  [protected]

Definition at line 74 of file binomialTree.cpp. References _d, _discountFactor, _dt, _n, _q, _u, Natural, q, and Real. Referenced by binomialTree().

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Friends And Related Function Documentation

ostream& operator<< (  ostream &  os, const binomialTree *  bt )  [friend]

Definition at line 23 of file binomialTree.h.

ostream& operator<< (  ostream &  os, const binomialTree &  bt )  [friend]

Definition at line 162 of file binomialTree.cpp.

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Member Data Documentation

valarray<valarray <Real> > binomialTree::_claimProcess [private]

Definition at line 77 of file binomialTree.h. Referenced by constructStockProcess(), copyObj(), getClaimProcess(), getPrice(), operator<<(), runEngineCall(), and runEngineConvertibleBond().

Real binomialTree::_d [private]

Definition at line 73 of file binomialTree.h. Referenced by binomialTree(), constructStockProcess(), copyObj(), operator<<(), and setClaimVariables().

valarray<Real> binomialTree::_discountFactor [private]

Definition at line 79 of file binomialTree.h. Referenced by copyObj(), getRate(), operator<<(), runEngineCall(), runEngineConvertibleBond(), and setClaimVariables().

Real binomialTree::_dt [private]

Definition at line 71 of file binomialTree.h. Referenced by binomialTree(), copyObj(), and setClaimVariables().

Real binomialTree::_maturity [private]

Definition at line 69 of file binomialTree.h. Referenced by copyObj().

Natural binomialTree::_n [private]

Definition at line 70 of file binomialTree.h. Referenced by binomialTree(), constructStockProcess(), copyObj(), getClaimProcess(), getPrice(), getRate(), getSteps(), getStockProcess(), operator<<(), runEngineCall(), runEngineConvertibleBond(), and setClaimVariables().

valarray<Real> binomialTree::_q [private]

risk neutral probability of an up move Definition at line 82 of file binomialTree.h. Referenced by copyObj(), operator<<(), runEngineCall(), runEngineConvertibleBond(), and setClaimVariables().

Real binomialTree::_sigma [private]

Definition at line 68 of file binomialTree.h. Referenced by binomialTree(), copyObj(), and getSigma().

Real binomialTree::_So [private]

Definition at line 67 of file binomialTree.h. Referenced by constructStockProcess(), copyObj(), and getSo().

valarray<valarray <Real> > binomialTree::_stockProcess [private]

Definition at line 75 of file binomialTree.h. Referenced by constructStockProcess(), copyObj(), getStockProcess(), operator<<(), runEngineCall(), and runEngineConvertibleBond().

Real binomialTree::_u [private]

Definition at line 72 of file binomialTree.h. Referenced by binomialTree(), constructStockProcess(), copyObj(), operator<<(), and setClaimVariables().

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The documentation for this class was generated from the following files:

• binomialTree.h
• binomialTree.cpp

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