template class xf::fintech::TrinomialTree¶

#include "trinomial_tree.hpp"

Overview¶

TrinomialTree is a lattice based trinomial tree structure.

Parameters:

DT	date type supported include float and double.
Process	stochastic process.
LEN	maximum length of timestep

template <
    typename DT,
    typename Process,
    int LEN
    >
class TrinomialTree

void initialization (
    DT processParam [4],
    unsigned endCnt,
    DT x0_
    )

initialize parameters.

Parameters:

processParam	parameters of stochastic process.
endCnt	end counter of timepoints
x0_	initial underlying

void dxUpdateNoCalcu (
    int i,
    DT t,
    DT dt
    )

update parameters from array to calculate probability for timepoint=i

Parameters:

i	timepoint counter
t	time for timepoint=i
dt	the difference time between timepoint=i+1 and timepoint=i

void dxUpdate (
    int i,
    DT t,
    DT dt
    )

calculate to get parameters to calculate probability for timepoint=i

Parameters:

i	timepoint counter
t	time for timepoint=i
dt	the difference time between timepoint=i+1 and timepoint=i

int calculateProbability (
    int j,
    DT t,
    DT dt,
    DT* probs
    )

calculate probability and descendant index for timepoint=i and node=j

Parameters:

j	node index
t	time for timepoint=i
dt	the difference time between timepoint=i+1 and timepoint=i
probs	return the calculated probability

Returns:

return the calculated descendant index

int size (int i)

Branch size per timepoints.

Parameters:

i	timepoint counter

Returns:

the branch size at timepoint is i

DT underlying (int index)

underlying

Parameters:

index

node index for branch

Returns:

underlying

DT getDx (int i)

get dx

Parameters:

i	timepoint counter

Returns:

dx at timepoint is i