public interface LatticeSpecification
An implementation of the lattice specification defines construction of binomial and trinomial trees, and computes transition probabilities and state steps.
Reference: Y. Iwashita, "Tree Option Pricing Models" OpenGamma Quantitative Research 23.
Modifier and Type | Method and Description |
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DoubleArray |
getParametersTrinomial(double volatility,
double interestRate,
double dt)
Computes parameters for uniform trinomial tree.
|
DoubleArray getParametersTrinomial(double volatility, double interestRate, double dt)
The interest rate must be zero-coupon continuously compounded rate.
The trinomial tree parameters are represented as DoubleArray
containing [0] up factor, [1] middle factor,
[2] down factor, [3] up probability, [4] middle probability, [5] down probability.
volatility
- the volatilityinterestRate
- the interest ratedt
- the time stepCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.