public BinomialTreeNode(double spot, double upFactor, double downFactor, double upProba, int currentRank, int targetRank)
{
_spot = spot;
_upProba = upProba;
if (targetRank - currentRank != 0)
{
var nodeTasks = new List <Task>(2)
{
Task.Run(
() => _upNode = new BinomialTreeNode(spot * upFactor, upFactor, downFactor, upProba, currentRank + 1, targetRank)),
Task.Run(
() =>
_downNode = new BinomialTreeNode(spot * downFactor, upFactor, downFactor, upProba, currentRank + 1, targetRank))
};
Parallel.ForEach(nodeTasks, t => t.Wait());
}
//Console.WriteLine(string.Format("Node rank:{0} spot:{1} created", currentRank, _spot));
}
static void Main(string[] args)
{
const int years = 1;
const int steps = 26;
const double deltaT = (double)years / (double)steps;
const double volatility = 1.0 / 100.0;
double u = Math.Exp(volatility * Math.Sqrt(deltaT));
const double s0 = 100;
const double strike = 90.0;
const double sureTx = 5.0 / 100.0;
double d = 1 / u;
double p = (Math.Exp(sureTx * deltaT) - d) / (u - d);
var node = new BinomialTreeNode(s0, u, d, p, 0, steps);
var result = node.Evaluate((s) => Math.Max(s - strike, 0));
System.Console.Write(result);
//Console.ReadLine();
}
