Beispiel #1
0
        public override Lattice tree(TimeGrid grid)
        {
            TermStructureFittingParameter phi = new TermStructureFittingParameter(termStructure());

            ShortRateDynamics numericDynamics =
                new Dynamics(phi, a(), sigma());

            TrinomialTree trinomial =
                new TrinomialTree(numericDynamics.process(), grid);
            ShortRateTree numericTree =
                new ShortRateTree(trinomial, numericDynamics, grid);

            TermStructureFittingParameter.NumericalImpl impl =
                (TermStructureFittingParameter.NumericalImpl)phi.implementation();
            impl.reset();
            double value = 1.0;
            double vMin  = -50.0;
            double vMax  = 50.0;

            for (int i = 0; i < (grid.size() - 1); i++)
            {
                double discountBond = termStructure().link.discount(grid[i + 1]);
                double xMin         = trinomial.underlying(i, 0);
                double dx           = trinomial.dx(i);
                Helper finder       = new Helper(i, xMin, dx, discountBond, numericTree);
                Brent  s1d          = new Brent();
                s1d.setMaxEvaluations(1000);
                value = s1d.solve(finder, 1e-7, value, vMin, vMax);
                impl.setvalue(grid[i], value);
            }
            return(numericTree);
        }
Beispiel #2
0
        public override Lattice tree(TimeGrid grid)
        {
            TermStructureFittingParameter phi             = new TermStructureFittingParameter(termStructure());
            ShortRateDynamics             numericDynamics = new Dynamics(phi, a(), sigma());
            TrinomialTree trinomial   = new TrinomialTree(numericDynamics.process(), grid);
            ShortRateTree numericTree = new ShortRateTree(trinomial, numericDynamics, grid);

            TermStructureFittingParameter.NumericalImpl impl =
                (TermStructureFittingParameter.NumericalImpl)phi.implementation();
            impl.reset();
            for (int i = 0; i < (grid.size() - 1); i++)
            {
                double discountBond = termStructure().link.discount(grid[i + 1]);
                Vector statePrices  = numericTree.statePrices(i);
                int    size         = numericTree.size(i);
                double dt           = numericTree.timeGrid().dt(i);
                double dx           = trinomial.dx(i);
                double x            = trinomial.underlying(i, 0);
                double value        = 0.0;
                for (int j = 0; j < size; j++)
                {
                    value += statePrices[j] * Math.Exp(-x * dt);
                    x     += dx;
                }
                value = Math.Log(value / discountBond) / dt;
                impl.setvalue(grid[i], value);
            }
            return(numericTree);
        }
Beispiel #3
0
        public override Lattice tree( TimeGrid grid)  
        {
            TermStructureFittingParameter phi= new TermStructureFittingParameter(termStructure());

            ShortRateDynamics numericDynamics=
                                    new Dynamics(phi, a(), sigma());

            TrinomialTree trinomial=
                             new TrinomialTree(numericDynamics.process(), grid);
            ShortRateTree numericTree =
                             new ShortRateTree(trinomial, numericDynamics, grid);

            TermStructureFittingParameter.NumericalImpl impl = 
                (TermStructureFittingParameter.NumericalImpl)phi.implementation();
            impl.reset();
            double value = 1.0;
            double vMin = -50.0;
            double vMax = 50.0;
            for (int i=0; i<(grid.size() - 1); i++) {
                double discountBond = termStructure().link.discount(grid[i+1]);
                double xMin = trinomial.underlying(i, 0);
                double dx = trinomial.dx(i);
                Helper finder = new Helper(i, xMin, dx, discountBond, numericTree);
                Brent s1d = new Brent();
                s1d.setMaxEvaluations(1000);
                value = s1d.solve(finder, 1e-7, value, vMin, vMax);
                impl.setvalue(grid[i], value);
                // vMin = value - 10.0;
                // vMax = value + 10.0;
            }
            return numericTree;
        }
Beispiel #4
0
 public override Lattice tree(TimeGrid grid) {
     TermStructureFittingParameter phi = new TermStructureFittingParameter(termStructure());
     ShortRateDynamics numericDynamics = new Dynamics(phi, a(), sigma());
     TrinomialTree trinomial = new TrinomialTree(numericDynamics.process(), grid);
     ShortRateTree numericTree = new ShortRateTree(trinomial, numericDynamics, grid);
     TermStructureFittingParameter.NumericalImpl  impl =
         (TermStructureFittingParameter.NumericalImpl)phi.implementation();
     impl.reset();
     for (int i=0; i<(grid.size() - 1); i++) {
         double discountBond = termStructure().link.discount(grid[i+1]);
         Vector  statePrices = numericTree.statePrices(i);
         int size = numericTree.size(i);
         double dt = numericTree.timeGrid().dt(i);
         double dx = trinomial.dx(i);
         double x = trinomial.underlying(i,0);
         double value = 0.0;
         for (int j=0; j<size; j++) {
             value += statePrices[j]*Math.Exp(-x*dt);
             x += dx;
         }
         value = Math.Log(value/discountBond)/dt;
         impl.setvalue(grid[i], value);
     }
     return numericTree;
 }
 public Helper(int i,
               double discountBondPrice,
               TermStructureFittingParameter.NumericalImpl theta,
               ShortRateTree tree)
 {
     size_              = tree.size(i);
     i_                 = i;
     statePrices_       = tree.statePrices(i);
     discountBondPrice_ = discountBondPrice;
     theta_             = theta;
     tree_              = tree;
     theta_.setvalue(tree.timeGrid()[i], 0.0);
 }