com.opengamma.strata.pricer.impl.tree

Class TrigeorgisLatticeSpecification

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 and Description
TrigeorgisLatticeSpecification()

Method Summary

Modifier and Type	Method and 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