public CoxRossRubinstein(StochasticProcess1D process, double end, int steps, double strike)
: base(process, end, steps)
{
dx_ = process.stdDeviation(0.0, x0_, dt_);
pu_ = 0.5 + 0.5 * driftPerStep_ / dx_;
pd_ = 1.0 - pu_;
Utils.QL_REQUIRE(pu_ <= 1.0, () => "negative probability");
Utils.QL_REQUIRE(pu_ >= 0.0, () => "negative probability");
}
public CoxRossRubinstein(StochasticProcess1D process, double end, int steps, double strike)
: base(process, end, steps)
{
dx_ = process.stdDeviation(0.0, x0_, dt_);
pu_ = 0.5 + 0.5 * driftPerStep_ / dx_;;
pd_ = 1.0 - pu_;
if (!(pu_ <= 1.0))
{
throw new ApplicationException("negative probability");
}
if (!(pu_ >= 0.0))
{
throw new ApplicationException("negative probability");
}
}
public JarrowRudd(StochasticProcess1D process, double end, int steps, double strike)
: base(process, end, steps)
{
// drift removed
up_ = process.stdDeviation(0.0, x0_, dt_);
}
