public static ITreeAddCmdtySettlementRule <T> WithIntrinsicTree <T>([NotNull] this ITreeAddTreeFactory <T> addTreeFactory)
where T : ITimePeriod <T>
{
if (addTreeFactory == null)
{
throw new ArgumentNullException(nameof(addTreeFactory));
}
TimeSeries <T, IReadOnlyList <TreeNode> > CreateIntrinsicTree(TimeSeries <T, double> forwardCurve)
{
var treeNodes = new IReadOnlyList <TreeNode> [forwardCurve.Count];
treeNodes[forwardCurve.Count - 1] = new [] { new TreeNode(forwardCurve[forwardCurve.Count - 1], 1.0, 0, new NodeTransition[0]) };
for (int i = forwardCurve.Count - 2; i >= 0; i--)
{
double forwardPrice = forwardCurve[i];
treeNodes[i] = new[] { new TreeNode(forwardPrice, 1.0, 0,
new[] { new NodeTransition(1.0, treeNodes[i + 1][0]) }) };
}
return(new TimeSeries <T, IReadOnlyList <TreeNode> >(forwardCurve.Indices, treeNodes));
}
return(addTreeFactory.WithTreeFactory(CreateIntrinsicTree));
}
public static ITreeAddCmdtySettlementRule <T> WithOneFactorTrinomialTree <T>(
[NotNull] this ITreeAddTreeFactory <T> addTreeFactory,
TimeSeries <T, double> spotVolatilityCurve, double meanReversion, double onePeriodTimeDelta)
where T : ITimePeriod <T>
{
if (addTreeFactory == null)
{
throw new ArgumentNullException(nameof(addTreeFactory));
}
return(addTreeFactory.WithTreeFactory(forwardCurve =>
OneFactorTrinomialTree.CreateTree(forwardCurve, meanReversion, spotVolatilityCurve, onePeriodTimeDelta)));
}
