public void ModifyLattice(double U)
{
// Forward induction; building the tree
var down = _strategy.DownValue;
var up = _strategy.UpValue;
var si = GetOptionLattice.MinIndex;
GetOptionLattice[si, si] = U;
GetAssetLattice[si, si] = U;
// Loop from the min index to the end index
for (var n = GetOptionLattice.MinIndex + 1; n <= GetOptionLattice.MaxIndex; n++)
{
for (var i = 0; i < GetOptionLattice.NumberColumns(n) - 1; i++)
{
GetOptionLattice[n, i] = down * GetOptionLattice[n - 1, i];
GetOptionLattice[n, i + 1] = up * GetOptionLattice[n - 1, i];
GetAssetLattice[n, i] = down * GetAssetLattice[n - 1, i];
GetAssetLattice[n, i + 1] = up * GetAssetLattice[n - 1, i];
}
}
// Postcondition: we now have the complete lattice for the underlying asset
}
public double GetPrice(Vector <double> RHS)
{
// Backward induction; calculate the price based on discete payoff function at t = T
var pr = _strategy.ProbValue;
// Initialise the vector at the expiry date/MaxIndex
var ei = GetOptionLattice.MaxIndex;
// Exception handling: sizes of RHS and base vector must be the same
for (var i = 0; i < GetOptionLattice.NumberColumns(ei); i++)
{
GetOptionLattice[ei, i] = RHS[i];
}
double S; // Value at node [n,i] before it gets overwritten
// Loop from the max index to the start (min) index
for (var n = GetOptionLattice.MaxIndex - 1; n >= GetOptionLattice.MinIndex; n--)
{
for (var i = 0; i < GetOptionLattice.NumberColumns(n); i++)
{
S = GetOptionLattice[n, i];
GetOptionLattice[n, i] = _disc * (pr * GetOptionLattice[n + 1, i + 1] + (1.0 - pr) * GetOptionLattice[n + 1, i]);
// Now take early exercise into account
if (_constraintExists)
{
GetOptionLattice[n, i] = _con(GetOptionLattice[n, i], S);
}
}
}
var si = GetOptionLattice.MinIndex;
return(GetOptionLattice[si, si]);
}
public Vector <double> BasePyramidVector()
{
return(GetOptionLattice.BasePyramidVector());
}