Package org.jquantlib.methods.lattices

Examples of org.jquantlib.methods.lattices.TrinomialTree.dx()

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        for (int /* @Size */i = 0; i < (grid.size() - 1); i++) {
            final double /* @Real */discountBond = termStructureConsistentModelClass.termStructure().currentLink().discount(grid.at(i + 1));
            final Array statePrices = numericTree.statePrices(i);
            final int /* @Size */size = numericTree.size(i);
            final double /* @Time */dt = numericTree.timeGrid().dt(i);
            final double /* @Real */dx = trinomial.dx(i);
            double /* @Real */x = trinomial.underlying(i, 0);
            double /* @Real */value = 0.0;
            for (int /* @Size */j = 0; j < size; j++) {
                value += statePrices.get(j) * Math.exp(-x * dt);
                x += dx;
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        for (int /* @Size */i = 0; i < (grid.size() - 1); i++) {
            final double /* @Real */discountBond = termStructureConsistentModelClass.termStructure().currentLink().discount(grid.at(i + 1));
            final Array statePrices = numericTree.statePrices(i);
            final int /* @Size */size = numericTree.size(i);
            final double /* @Time */dt = numericTree.timeGrid().dt(i);
            final double /* @Real */dx = trinomial.dx(i);
            double /* @Real */x = trinomial.underlying(i, 0);
            double /* @Real */value = 0.0;
            for (int /* @Size */j = 0; j < size; j++) {
                value += statePrices.get(j) * Math.exp(-x * dt);
                x += dx;
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        final double /* @Real */vMin = -50.0;
        final double /* @Real */vMax = 50.0;
        for (int /* @Size */i = 0; i < (grid.size() - 1); i++) {
            final double /* @Real */discountBond = termstructureConsistentModel.termStructure().currentLink().discount(grid.at(i + 1));
            final double /* @Real */xMin = trinomial.underlying(i, 0);
            final double /* @Real */dx = trinomial.dx(i);

            final Helper finder = new BlackKarasinski.Helper(i, xMin, dx, discountBond, numericTree);
            final Brent s1d = new Brent();
            s1d.setMaxEvaluations(1000);
            value = s1d.solve(finder, 1e-7, value, vMin, vMax);
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