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);
}
//! 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);
// vMin = value - 1.0;
// vMax = value + 1.0;
theta.change(value);
}
}
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);
}
