TrigeorgisLatticeSpecification (OpenGamma Strata)

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

All Implemented Interfaces:: LatticeSpecification

public final class TrigeorgisLatticeSpecification
extends Object
implements LatticeSpecification

Trigeorgis lattice specification.

Constructor Summary

Constructors
Constructor Description

TrigeorgisLatticeSpecification()

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
  - TrigeorgisLatticeSpecification
```
public TrigeorgisLatticeSpecification()
```
- 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