Binomial Tree¶
template struct xf::fintech::BinomialTreeInputDataType¶
#include "bt_engine.hpp"
template <typename DT> struct BinomialTreeInputDataType // fields DT S DT K DT T DT rf DT V DT q int N int packed
template struct xf::fintech::BinomialTreeInputDataType <double>¶
#include "bt_engine.hpp"
template <> struct BinomialTreeInputDataType <double> // fields double S double K double T double rf double V double q int N int packed[3]
class xf::fintech::BinomialTree¶
#include "xf_fintech_binomialtree.hpp"
Overview¶
This class implements the Binomial Tree Model.
It is intended that the user will populate the inputData structure with appropriate asset data prior to calling run() method. When the run completes the calculated output data (one or more options) will be available to the user.
class BinomialTree: public xf::fintech::OCLController
Inherited Members¶
Methods¶
run¶
int run ( xf::fintech::BinomialTreeInputDataType <double>* inputData, double* outputData, int optionType, int numOptions )
Calculate one or more options based on input data and option type
Parameters:
| inputData | structure to be populated with the asset data |
| outputData | one or more calculated option values returned |
| optionType | option type is American/European Call or Put |
| numOptions | number of options to be calculate |