Package com.opengamma.strata.pricer.impl.tree

Class TrinomialTree

java.lang.Object

com.opengamma.strata.pricer.impl.tree.TrinomialTree

public class TrinomialTree
extends Object

Trinomial tree.

Option pricing model based on trinomial tree. Trinomial lattice is defined by LatticeSpecification and the option to price is specified by OptionFunction.

Option pricing with non-uniform tree is realised by specifying RecombiningTrinomialTreeData.

Constructor Summary

Constructors

Constructor	Description
TrinomialTree()

Method Summary

Modifier and Type	Method	Description
double	optionPrice(OptionFunction function, RecombiningTrinomialTreeData data)	Price an option under the specified trinomial tree gird.
double	optionPrice(OptionFunction function, LatticeSpecification lattice, double spot, double volatility, double interestRate, double dividendRate)	Price an option under the specified trinomial lattice.
ValueDerivatives	optionPriceAdjoint(OptionFunction function, RecombiningTrinomialTreeData data)	Compute option price and delta under the specified trinomial tree gird.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

TrinomialTree

public TrinomialTree()

Method Detail

optionPrice

public double optionPrice(OptionFunction function,
                          LatticeSpecification lattice,
                          double spot,
                          double volatility,
                          double interestRate,
                          double dividendRate)

Price an option under the specified trinomial lattice.

It is assumed that the volatility, interest rate and continuous dividend rate are constant over the lifetime of the option.

Parameters:

function - the option

lattice - the lattice specification

spot - the spot

volatility - the volatility

interestRate - the interest rate

dividendRate - the dividend rate

Returns:

the option price

optionPrice

public double optionPrice(OptionFunction function,
                          RecombiningTrinomialTreeData data)

Price an option under the specified trinomial tree gird.

Parameters:

function - the option

data - the trinomial tree data

Returns:

the option price

optionPriceAdjoint

public ValueDerivatives optionPriceAdjoint(OptionFunction function,
                                           RecombiningTrinomialTreeData data)

Compute option price and delta under the specified trinomial tree gird.

The delta is the first derivative of the price with respect to spot, and approximated by the data embedded in the trinomial tree.

Parameters:

function - the option

data - the trinomial tree data

Returns:

the option price and spot delta