Interface LatticeSpecification

  • All Known Implementing Classes:
    CoxRossRubinsteinLatticeSpecification, TrigeorgisLatticeSpecification

    public interface LatticeSpecification
    Lattice specification interface.

    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.

    • Method Detail

      • getParametersTrinomial

        DoubleArray getParametersTrinomial​(double volatility,
                                           double interestRate,
                                           double dt)
        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.

        volatility - the volatility
        interestRate - the interest rate
        dt - the time step
        the trinomial tree parameters