//! 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 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); }