template class xf::fintech::TreeLattice

#include "tree_lattice.hpp"

Overview

Generalized structure compatible with different models and instruments.

Parameters:

DT	date type supported include float and double.
Model	short-rate model for Tree Engine
Process	stochastic process
Instrument	swaption, swap, cap floor, callable bond
DIM	1D or 2D short-rate model
LEN	maximum length of timestep, which affects the latency and resources utilization.
LEN2	maximum length of node of tree, which affects the latency and resources utilization.

template <
    typename DT,
    typename Model,
    typename Process,
    typename Instrument,
    int DIM,
    int LEN,
    int LEN2
    >
class TreeLattice

Methods

setup

setup overload (1)

void setup (
    Model& model,
    DT* process,
    unsigned endCnt,
    DT r,
    DT x0,
    DT* time,
    DT* dtime
    )

setup setup parameter and initialize 1D framework of TreeLattice , and compute short-rate

Parameters:

model	short-rate model for Tree Engine
process	parameters of stochastic process
endCnt	end counter of timepoints
r	floating benchmark annual interest rate
x0	initial underlying
time	array timepoints
dtime	array the difference between the next timepoint and the current timepoint

setup overload (2)

void setup (
    Model& model,
    DT* process1,
    DT* process2,
    unsigned endCnt,
    DT r,
    DT x0,
    DT* time,
    DT* dtime
    )

setup setup parameter and initialize 2D framework of TreeLattice , and compute short-rate

Parameters:

model	short-rate model for Tree Engine
process1	parameters of stochastic process
process2	parameters of stochastic process
endCnt	end counter of timepoints
r	floating benchmark annual interest rate
x0	initial underlying
time	array timepoints
dtime	array the difference between the next timepoint and the current timepoint

rollback

void rollback (
    Model& model,
    Instrument& engine,
    unsigned from,
    DT* time,
    DT* dtime,
    DT* NPV
    )

rollback calculate pricing result

Parameters:

model	short-rate model for Tree Engine
engine	swaption, swap, cap floor, callable bond
from	begin counter
time	array timepoints
dtime	array the difference between the next timepoint and the current timepoint
NPV	is pricing result