Class AdditiveEQPBinomialTree

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The additive equal-probabilities binomial tree: equal probabilities, the up move matching the step's first two moments with the drift.

public sealed class AdditiveEQPBinomialTree : EqualProbabilitiesBinomialTree<AdditiveEQPBinomialTree>, IBinomialTree<AdditiveEQPBinomialTree>

Inheritance

object

Tree

BinomialTree<AdditiveEQPBinomialTree>

EqualProbabilitiesBinomialTree<AdditiveEQPBinomialTree>

AdditiveEQPBinomialTree

Implements

IBinomialTree<AdditiveEQPBinomialTree>

Inherited Members

EqualProbabilitiesBinomialTree<AdditiveEQPBinomialTree>.Underlying(int, int)

EqualProbabilitiesBinomialTree<AdditiveEQPBinomialTree>.Probability(int, int, int)

BinomialTree<AdditiveEQPBinomialTree>.Size(int)

BinomialTree<AdditiveEQPBinomialTree>.Descendant(int, int, int)

BinomialTree<AdditiveEQPBinomialTree>.Branches

Tree.Columns

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable.

Constructors

AdditiveEQPBinomialTree(StochasticProcess1D, double, int, double)

Initializes a new instance of the AdditiveEQPBinomialTree class.

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

Parameters

process StochasticProcess1D

The process, read at time 0.

end double

The tree's last time.

steps int

The number of steps.

strike double

Not read.

Exceptions

ArgumentNullException

process is null.

ArgumentOutOfRangeException

steps is negative.

NanoQLException

The drift per step is too large for the step's variance.

Explicit Interface Implementations

Create(StochasticProcess1D, double, int, double)

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

static AdditiveEQPBinomialTree 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

AdditiveEQPBinomialTree

The tree.