Esempio n. 1
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        // this is a workaround for CuriouslyRecurringTemplate of TreeLattice
        // recheck it

        /*  public override TreeLattice2D impl() { return this; }
         */
        public TreeLattice2D(TrinomialTree tree1, TrinomialTree tree2, double correlation)
            : base(tree1.timeGrid(), (int)Branches.branches * (int)Branches.branches)
        {
            tree1_ = (Tl)tree1; //le cast à voir!!
            tree2_ = (Tl)tree2; //le cast à voir!!
            m_     = new Matrix((int)Branches.branches, (int)Branches.branches);
            rho_   = Math.Abs(correlation);

            // what happens here?
            if (correlation < 0.0 && (int)Branches.branches == 3)
            {
                m_[0, 0] = -1.0;
                m_[0, 1] = -4.0;
                m_[0, 2] = 5.0;
                m_[1, 0] = -4.0;
                m_[1, 1] = 8.0;
                m_[1, 2] = -4.0;
                m_[2, 0] = 5.0;
                m_[2, 1] = -4.0;
                m_[2, 2] = -1.0;
            }
            else
            {
                m_[0, 0] = 5.0;
                m_[0, 1] = -4.0;
                m_[0, 2] = -1.0;
                m_[1, 0] = -4.0;
                m_[1, 1] = 8.0;
                m_[1, 2] = -4.0;
                m_[2, 0] = -1.0;
                m_[2, 1] = -4.0;
                m_[2, 2] = 5.0;
            }
        }
Esempio n. 2
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        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);
        }
Esempio n. 3
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        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);
        }
            //! 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);
                }
            }
        //! Return by default a trinomial recombining tree
        public override Lattice tree(TimeGrid grid)
        {
            //throw new NotImplementedException();
            TrinomialTree trinomial = new TrinomialTree(dynamics().process(), grid);

            return(new ShortRateTree(trinomial, dynamics(), grid));
        }
 //! Plain tree build-up from short-rate dynamics
 public ShortRateTree(TrinomialTree tree,
                      ShortRateDynamics dynamics,
                      TimeGrid timeGrid)
     : base(timeGrid, tree.size(1))
 {
     tree_     = tree;
     dynamics_ = dynamics;
 }
Esempio n. 7
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        public override Lattice tree(TimeGrid grid)
        {
            ShortRateDynamics dyn   = dynamics();
            TrinomialTree     tree1 = new TrinomialTree(dyn.xProcess(), grid);
            TrinomialTree     tree2 = new TrinomialTree(dyn.yProcess(), grid);

            return((Lattice)(new ShortRateTree(tree1, tree2, dyn)));
        }
Esempio n. 8
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        public override Lattice tree(TimeGrid grid)
        {
            TrinomialTree trinomial = new TrinomialTree(dynamics().process(), grid, true);

            return(new ShortRateTree(trinomial, dynamics(), grid));
        }