Class ExtendedCoxRossRubinstein

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The time-dependent Cox-Ross-Rubinstein binomial tree: equal jumps of one standard deviation of a step at the step's time, the probabilities carrying the drift: QuantLib's ExtendedCoxRossRubinstein.

[Experimental("NQL0001")]
public sealed class ExtendedCoxRossRubinstein : ExtendedEqualJumpsBinomialTree<ExtendedCoxRossRubinstein>, IBinomialTree<ExtendedCoxRossRubinstein>

Inheritance

object

Tree

ExtendedBinomialTree<ExtendedCoxRossRubinstein>

ExtendedEqualJumpsBinomialTree<ExtendedCoxRossRubinstein>

ExtendedCoxRossRubinstein

Implements

IBinomialTree<ExtendedCoxRossRubinstein>

Inherited Members

ExtendedEqualJumpsBinomialTree<ExtendedCoxRossRubinstein>.Underlying(int, int)

ExtendedEqualJumpsBinomialTree<ExtendedCoxRossRubinstein>.Probability(int, int, int)

ExtendedBinomialTree<ExtendedCoxRossRubinstein>.Size(int)

ExtendedBinomialTree<ExtendedCoxRossRubinstein>.Descendant(int, int, int)

ExtendedBinomialTree<ExtendedCoxRossRubinstein>.Branches

Tree.Columns

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable; exact on constant parameters (ExtendedBinomialTree<T>). The constructor checks the up probability at time 0 only, as QuantLib's.

Constructors

ExtendedCoxRossRubinstein(StochasticProcess1D, double, int, double)

Initializes a new instance of the ExtendedCoxRossRubinstein class.

public ExtendedCoxRossRubinstein(StochasticProcess1D process, double end, int steps, double strike)

Parameters

process StochasticProcess1D

The process.

end double

The tree's last time.

steps int

The number of steps.

strike double

The strike, which this tree doesn't read.

Exceptions

ArgumentNullException

process is null.

ArgumentOutOfRangeException

steps is negative.

NanoQLException

The up probability at time 0 is outside [0, 1].

Methods

DxStep(double)

The move at a step's time, in the logarithm of the underlying.

protected override double DxStep(double stepTime)

Parameters

stepTime double

The step's time.

Returns

double

The move.

ProbUp(double)

The probability of an up move at a step's time.

protected override double ProbUp(double stepTime)

Parameters

stepTime double

The step's time.

Returns

double

The probability.

Explicit Interface Implementations

Create(StochasticProcess1D, double, int, double)

Builds the tree of a process from time 0 to end.

static ExtendedCoxRossRubinstein Create(StochasticProcess1D process, double end, int steps, double strike)

Parameters

process StochasticProcess1D

The process.

end double

The tree's last time.

steps int

The number of steps asked for; a tree may build on another (its Columns less one).

strike double

The strike, which some trees center on.

Returns

ExtendedCoxRossRubinstein

The tree.