Package com.opengamma.strata.pricer.fxopt

Class RecombiningTrinomialTreeData

java.lang.Object

com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class RecombiningTrinomialTreeData
extends Object
implements org.joda.beans.ImmutableBean, Serializable

Recombining trinomial tree data.

This includes state values and transition probabilities for all of the nodes, as well as discount factors and time (time from valuation date) for individual time steps.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	RecombiningTrinomialTreeData.Meta	The meta-bean for RecombiningTrinomialTreeData.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
DoubleArray	getDiscountFactor()	Gets the discount factor.
double	getDiscountFactorAtLayer(int i)	Obtains discount factor between the i-th layer to the (i+1)-th layer.
int	getNumberOfSteps()	Obtains the number of time steps.
DoubleMatrix	getProbabilityAtLayer(int i)	Obtains the transition probability values at the i-th time layer.
double	getSpot()	Obtains the spot.
DoubleMatrix	getStateValue()	Gets the state value.
DoubleArray	getStateValueAtLayer(int i)	Obtains the state values at the i-th time layer.
DoubleArray	getTime()	Gets the time.
double	getTime(int i)	Obtains the time for the i-th layer.
ImmutableList<DoubleMatrix>	getTransitionProbability()	Gets the transition probability.
int	hashCode()
static RecombiningTrinomialTreeData.Meta	meta()	The meta-bean for RecombiningTrinomialTreeData.
RecombiningTrinomialTreeData.Meta	metaBean()
static RecombiningTrinomialTreeData	of(DoubleMatrix stateValue, List<DoubleMatrix> transitionProbability, DoubleArray discountFactor, DoubleArray time)	Creates an instance.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static RecombiningTrinomialTreeData of(DoubleMatrix stateValue,
                                              List<DoubleMatrix> transitionProbability,
                                              DoubleArray discountFactor,
                                              DoubleArray time)

Creates an instance.

Parameters:

stateValue - the state value

transitionProbability - the transition probability

discountFactor - the discount factor

time - the time

Returns:

the instance

getNumberOfSteps

public int getNumberOfSteps()

Obtains the number of time steps.

Returns:

the number of time steps

getStateValueAtLayer

public DoubleArray getStateValueAtLayer(int i)

Obtains the state values at the i-th time layer.

Parameters:

i - the layer

Returns:

the state values

getProbabilityAtLayer

public DoubleMatrix getProbabilityAtLayer(int i)

Obtains the transition probability values at the i-th time layer.

Parameters:

i - the layer

Returns:

the transition probability

getDiscountFactorAtLayer

public double getDiscountFactorAtLayer(int i)

Obtains discount factor between the i-th layer to the (i+1)-th layer.

Parameters:

i - the layer

Returns:

the discount factor

getSpot

public double getSpot()

Obtains the spot.

Returns:

the spot

getTime

public double getTime(int i)

Obtains the time for the i-th layer.

The time is the year fraction between the 0-th layer and the i-th layer.

Parameters:

i - the layer

Returns:

the time

meta

public static RecombiningTrinomialTreeData.Meta meta()

The meta-bean for RecombiningTrinomialTreeData.

Returns:

the meta-bean, not null

metaBean

public RecombiningTrinomialTreeData.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getStateValue

public DoubleMatrix getStateValue()

Gets the state value.

The (i,j) component of this matrix represents the underlying asset price at the j-th lowest node at the i-th time layer.

Returns:

the value of the property

getTransitionProbability

public ImmutableList<DoubleMatrix> getTransitionProbability()

Gets the transition probability.

The i-th element of the list represents the transition probability values for the nodes at the i-th time layer. The matrix is (2*i+1) times 3, and its j-th row involves [0] down probability, [1] middle probability and [2] up probability for the j-th lowest node.

Returns:

the value of the property

getDiscountFactor

public DoubleArray getDiscountFactor()

Gets the discount factor.

The i-th element is the discount factor between the i-th layer and the (i+1)-th layer.

Returns:

the value of the property

getTime

public DoubleArray getTime()

Gets the time.

The i-th element is the year fraction between the 0-th time layer and the i-th layer.

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object