public void modifyLattice(double U)
{ // Forward induction; building the tree
double down = str.downValue();
double up = str.upValue();
int si = lattice.MinIndex;
lattice[si, si] = U;
// Loop from the min index to the end index
for (int n = lattice.MinIndex + 1; n <= lattice.MaxIndex; n++)
{
for (int i = 0; i < lattice.NumberColumns(n) - 1; i++)
{
lattice[n, i] = down * lattice[n - 1, i];
lattice[n, i + 1] = up * lattice[n - 1, i];
}
}
// Postcondition: we now have the complete lattice for the underlying asset
}
// Useful function
public void UpdateLattice(Lattice <double> source, double rootValue)
{ // Find the depth of the lattice; this a Template Method Pattern
int si = source.MinIndex;
source[si, si] = rootValue;
// Loop from the min index to the end index
for (int n = source.MinIndex + 1; n <= source.MaxIndex; n++)
{
for (int i = 0; i < source.NumberColumns(n); i++)
{
source[n, i] = d * source[n - 1, i];
source[n, i + 1] = u * source[n - 1, i];
}
}
}