public override double value(double theta)
{
double value = discountBondPrice_;
theta_.change(theta);
for (int j = 0; j < size_; j++)
{
value -= statePrices_[j] * tree_.discount(i_, j);
}
return(value);
}
//! Tree build-up + numerical fitting to term-structure
public ShortRateTree(TrinomialTree tree, ShortRateDynamics dynamics, TermStructureFittingParameter.NumericalImpl theta,
TimeGrid timeGrid)
: base(timeGrid, tree.size(1))
{
tree_ = tree;
dynamics_ = dynamics;
theta.reset();
double value = 1.0;
double vMin = -100.0;
double vMax = 100.0;
for (int i = 0; i < (timeGrid.size() - 1); i++)
{
double discountBond = theta.termStructure().link.discount(t_[i + 1]);
Helper finder = new Helper(i, discountBond, theta, this);
Brent s1d = new Brent();
s1d.setMaxEvaluations(1000);
value = s1d.solve(finder, 1e-7, value, vMin, vMax);
theta.change(value);
}
}
