public TrinomialTree(StochasticProcess1D process,
TimeGrid timeGrid,
bool isPositive /*= false*/)
: base(timeGrid.size())
{
branchings_ = new List <Branching>();
dx_ = new InitializedList <double>(1);
timeGrid_ = timeGrid;
x0_ = process.x0();
int nTimeSteps = timeGrid.size() - 1;
int jMin = 0;
int jMax = 0;
for (int i = 0; i < nTimeSteps; i++)
{
double t = timeGrid[i];
double dt = timeGrid.dt(i);
//Variance must be independent of x
double v2 = process.variance(t, 0.0, dt);
double v = Math.Sqrt(v2);
dx_.Add(v * Math.Sqrt(3.0));
Branching branching = new Branching();
for (int j = jMin; j <= jMax; j++)
{
double x = x0_ + j * dx_[i];
double m = process.expectation(t, x, dt);
int temp = (int)(Math.Floor((m - x0_) / dx_[i + 1] + 0.5));
if (isPositive)
{
while (x0_ + (temp - 1) * dx_[i + 1] <= 0)
{
temp++;
}
}
double e = m - (x0_ + temp * dx_[i + 1]);
double e2 = e * e;
double e3 = e * Math.Sqrt(3.0);
double p1 = (1.0 + e2 / v2 - e3 / v) / 6.0;
double p2 = (2.0 - e2 / v2) / 3.0;
double p3 = (1.0 + e2 / v2 + e3 / v) / 6.0;
branching.add(temp, p1, p2, p3);
}
branchings_.Add(branching);
jMin = branching.jMin();
jMax = branching.jMax();
}
}