Class LeisenReimer

Namespace

NanoQL.Methods

Assembly

NanoQL.dll

The Leisen-Reimer binomial tree: centered on the strike, its probabilities from the Peizer-Pratt inversion, on an odd number of steps.

public sealed class LeisenReimer : BinomialTree<LeisenReimer>, IBinomialTree<LeisenReimer>

Inheritance

object

Tree

BinomialTree<LeisenReimer>

LeisenReimer

Implements

IBinomialTree<LeisenReimer>

Inherited Members

BinomialTree<LeisenReimer>.Size(int)

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

BinomialTree<LeisenReimer>.Branches

Tree.Columns

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable.

Constructors

LeisenReimer(StochasticProcess1D, double, int, double)

Initializes a new instance of the LeisenReimer class.

public LeisenReimer(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; an even count builds on the next odd one, as QuantLib's does, its Columns less one.

strike double

The strike the tree centers on.

Exceptions

ArgumentNullException

process is null.

ArgumentOutOfRangeException

steps is negative.

ArgumentException

strike isn't positive.

NanoQLException

The up probability is outside (0, 1).

Methods

Probability(int, int, int)

The probability of a node's branch.

public override double Probability(int i, int index, int branch)

Parameters

i int

The column.

index int

The node's index in the column.

branch int

The branch.

Returns

double

The probability.

Underlying(int, int)

The underlying variable's value at a node.

public override double Underlying(int i, int index)

Parameters

i int

The column.

index int

The node's index in the column.

Returns

double

The value.

Explicit Interface Implementations

Create(StochasticProcess1D, double, int, double)

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

static LeisenReimer 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

LeisenReimer

The tree.