org.jquantlib.methods.lattices

Class TrinomialTree

java.lang.Object

org.jquantlib.methods.lattices.Tree

org.jquantlib.methods.lattices.TrinomialTree

public class TrinomialTree
extends Tree

Recombining trinomial tree class

This class defines a recombining trinomial tree approximating a 1-D stochastic process.

Field Summary

Fields

Modifier and Type	Field and Description
static org.jquantlib.methods.lattices.Tree.Branches	branches

Constructor Summary

Constructors

Constructor and Description
TrinomialTree(StochasticProcess1D process, TimeGrid timeGrid)
TrinomialTree(StochasticProcess1D process, TimeGrid timeGrid, boolean isPositive)

Method Summary

Modifier and Type	Method and Description
int	descendant(int i, int index, int branch)
double	dx(int i)
double	probability(int i, int index, int branch)
int	size(int i)
TimeGrid	timeGrid()
double	underlying(int i, int index)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

branches

public static final org.jquantlib.methods.lattices.Tree.Branches branches

Constructor Detail

TrinomialTree

public TrinomialTree(StochasticProcess1D process,
                     TimeGrid timeGrid)

TrinomialTree

public TrinomialTree(StochasticProcess1D process,
                     TimeGrid timeGrid,
                     boolean isPositive)

Method Detail

dx

public double dx(int i)

timeGrid

public TimeGrid timeGrid()

size

public int size(int i)

Specified by:

size in class Tree

underlying

public double underlying(int i,
                         int index)

Specified by:

underlying in class Tree

descendant

public int descendant(int i,
                      int index,
                      int branch)

Specified by:

descendant in class Tree

probability

public double probability(int i,
                          int index,
                          int branch)

Specified by:

probability in class Tree