//! Plain tree build-up from short-rate dynamics
public ShortRateTree(TrinomialTree tree1,
TrinomialTree tree2,
ShortRateDynamics dynamics)
: base(tree1, tree2, dynamics.correlation())
{
dynamics_ = dynamics;
}
//! 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)
{
ShortRateDynamics dyn = dynamics();
TrinomialTree tree1 = new TrinomialTree(dyn.xProcess(), grid);
TrinomialTree tree2 = new TrinomialTree(dyn.yProcess(), grid);
return((Lattice)(new ShortRateTree(tree1, tree2, dyn)));
}
//! 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;
}
