protected BinomialTree(StochasticProcess1D process, double end, int steps)
: base(steps + 1)
{
x0_ = process.x0();
dt_ = end / steps;
driftPerStep_ = process.drift(0.0, x0_) * dt_;
}
/*! Returns an approximation of the drift defined as
* \f$ \mu(t_0, x_0) \Delta t \f$. */
public double drift(StochasticProcess1D process, double t0, double x0, double dt)
{
return(process.drift(t0, x0) * dt);
}