/*
Copyright (C) 2008 Richard Gomes

This source code is release under the BSD License.

This file is part of JQuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://jquantlib.org/

JQuantLib is free software: you can redistribute it and/or modify it
under the terms of the JQuantLib license.  You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.

This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE.  See the license for more details.

JQuantLib is based on QuantLib. http://quantlib.org/
When applicable, the original copyright notice follows this notice.
*/

/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2005 StatPro Italia srl
Copyright (C) 2008 John Maiden

This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/

QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license.  You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.

This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

package org.jquantlib.experimental.lattices;

import org.jquantlib.QL;
import org.jquantlib.processes.StochasticProcess1D;

/**
* Trigeorgis (additive equal jumps) binomial tree
*
* @category lattices
*
* @author Richard Gomes
*/
public class ExtendedTrigeorgis extends ExtendedEqualJumpsBinomialTree /* */ {

   //
   // public methods
   //

   public ExtendedTrigeorgis(
           final StochasticProcess1D process,
           final /* @Time */ double end,
           final int steps,
           final double strike) {


       super(process, end, steps);

       this.dx = Math.sqrt(process.variance(0.0, x0, dt) + driftStep(0.0)*driftStep(0.0));
       this.pu = 0.5 + 0.5*driftStep(0.0)/dxStep(0.0);
       this.pd = 1.0 - this.pu;

       QL.require(pu<=1.0, NEGATIVE_PROBABILITY);
       QL.require(pu>=0.0, NEGATIVE_PROBABILITY);
   }


   //
   // protected methods
   //

   @Override
   protected double dxStep(/* @Time */ final double stepTime) /* @ReadOnly */ {
       return Math.sqrt(treeProcess.variance(stepTime, x0, dt)+driftStep(stepTime)*driftStep(stepTime));
   }

   @Override
   protected double probUp(/* @Time */ final double stepTime) /* @ReadOnly */ {
       return 0.5 + 0.5*driftStep(stepTime)/dxStep(stepTime);
   }

}