public static ITreeAddCmdtySettlementRule <T> WithOneFactorTrinomialTree <T>(
[NotNull] this ITreeAddTreeFactory <T> addTreeFactory,
TimeSeries <T, double> spotVolatilityCurve, double meanReversion, double onePeriodTimeDelta)
where T : ITimePeriod <T>
{
if (addTreeFactory == null)
{
throw new ArgumentNullException(nameof(addTreeFactory));
}
return(addTreeFactory.WithTreeFactory(forwardCurve =>
OneFactorTrinomialTree.CreateTree(forwardCurve, meanReversion, spotVolatilityCurve, onePeriodTimeDelta)));
}
static void Main(string[] args)
{
const double meanReversion = 16.0;
const double timeDelta = 1.0 / 365.0;
(TimeSeries <Day, double> forwardCurve, TimeSeries <Day, double> spotVolatility) =
CreateForwardAndVolatilityCurves();
TimeSeries <Day, IReadOnlyList <TreeNode> > trinomialTree = OneFactorTrinomialTree.CreateTree(forwardCurve, meanReversion, spotVolatility, timeDelta);
Console.WriteLine($"Created a trinomial tree with {trinomialTree.Count} items, starting at {trinomialTree.Start}, ending at {trinomialTree.End}.");
Console.WriteLine();
Console.WriteLine("Example of iterating through the tree by date");
Console.WriteLine();
Console.WriteLine("Date Price");
int maxTreeWidth = trinomialTree[trinomialTree.Count - 1].Count;
foreach ((Day day, IReadOnlyList <TreeNode> treeNodes) in trinomialTree)
{
int numNodes = treeNodes.Count;
int paddingSize = (maxTreeWidth - numNodes) * 6 / 2;
string padding = new String(' ', paddingSize);
Console.WriteLine($"{day}: {padding}" + string.Join(" ", treeNodes.Select(node => node.Value.ToString("F2", CultureInfo.InvariantCulture))));
}
Console.WriteLine();
Console.WriteLine("Example of traversing tree using transition links");
Console.WriteLine();
TreeNode treeNode = trinomialTree[0][0];
var random = new Random(11);
do
{
int nextMove = random.Next(0, 3);
var transition = treeNode.Transitions[nextMove];
treeNode = transition.DestinationNode;
Console.WriteLine(treeNode);
} while (!treeNode.IsTerminalNode);
Console.ReadKey();
}
private TimeSeries <Day, IReadOnlyList <TreeNode> > CreateTestTree()
{
return(OneFactorTrinomialTree.CreateTree(_forwardCurve, MeanReversion, _spotVolatility, TimeDelta));
}
public void CreateTree_MeanReversionNegative_ThrowsArgumentException()
{
Assert.Throws <ArgumentException>(() =>
OneFactorTrinomialTree.CreateTree(_forwardCurve, -0.1, _spotVolatility, 1.0 / 365));
}
