CoxRossRubinsteinLatticeSpecification (OpenGamma Strata)

java.lang.Object
- com.opengamma.strata.pricer.impl.tree.CoxRossRubinsteinLatticeSpecification

All Implemented Interfaces:: LatticeSpecification

public final class CoxRossRubinsteinLatticeSpecification
extends Object
implements LatticeSpecification

Cox-Ross-Rubinstein lattice specification.

Constructor Summary

Constructors
Constructor Description

CoxRossRubinsteinLatticeSpecification()

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`DoubleArray`	`getParametersTrinomial(double volatility, double interestRate, double dt)`	Computes parameters for uniform trinomial tree.

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- Constructor Detail
  - CoxRossRubinsteinLatticeSpecification
```
public CoxRossRubinsteinLatticeSpecification()
```
- Method Detail
  - getParametersTrinomial
```
public DoubleArray getParametersTrinomial(double volatility,
                                          double interestRate,
                                          double dt)
```
    Description copied from interface: LatticeSpecification
    
    Computes parameters for uniform trinomial tree.
    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.
    
    Specified by:
    
    getParametersTrinomial in interface LatticeSpecification
    
    Parameters:
    
    volatility - the volatility
    
    interestRate - the interest rate
    
    dt - the time step
    
    Returns:
    
    the trinomial tree parameters