Class Trigeorgis

Namespace: NanoQL.Methods

Assembly: NanoQL.dll

The Trigeorgis binomial tree: equal jumps matching the step's variance and squared drift, the probabilities carrying the drift.

public sealed class Trigeorgis : EqualJumpsBinomialTree<Trigeorgis>, IBinomialTree<Trigeorgis>

Inheritance: object

Tree

BinomialTree<Trigeorgis>

EqualJumpsBinomialTree<Trigeorgis>

Trigeorgis

Implements: IBinomialTree<Trigeorgis>

Inherited Members: EqualJumpsBinomialTree<Trigeorgis>.Underlying(int, int)

EqualJumpsBinomialTree<Trigeorgis>.Probability(int, int, int)

BinomialTree<Trigeorgis>.Size(int)

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

BinomialTree<Trigeorgis>.Branches

Tree.Columns

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable.

Constructors

Trigeorgis(StochasticProcess1D, double, int, double)

Initializes a new instance of the Trigeorgis class.

public Trigeorgis(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 up probability is outside [0, 1].

Explicit Interface Implementations

Create(StochasticProcess1D, double, int, double)

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

static Trigeorgis 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

Trigeorgis: The tree.