Class TrigeorgisLatticeSpecification

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