Class BlackScholesLattice<T>

Simple binomial lattice approximating the Black-Scholes model

Type parameters

T: TreeLatticeImpl

Hierarchy

TreeLattice1D<BlackScholesLattice<T>>
- BlackScholesLattice
  - TsiveriotisFernandesLattice

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new BlackScholesLattice(tree: T, riskFreeRate: Rate, end: Time, steps: Size): BlackScholesLattice

- Defined in ql/methods/lattices/bsmlattice.ts:15
Parameters
- tree: T
- riskFreeRate: Rate
- end: Time
- steps: Size
Returns BlackScholesLattice

Properties

Protected _discount

_discount: DiscountFactor

Protected _dt

_dt: Time

Protected _pd

_pd: Real

Protected _pu

_pu: Real

Protected _riskFreeRate

_riskFreeRate: Rate

Protected _statePrices

_statePrices: Real[][]

_t

Protected _tree

_tree: T

impl

impl: () => any

Type declaration

- (): any
- Returns any

init

init: (timeGrid: TimeGrid) => Lattice

Type declaration

- (timeGrid: TimeGrid): Lattice
- Parameters
  - timeGrid: TimeGrid
  Returns Lattice

timeGrid

timeGrid: () => TimeGrid

Type declaration

- (): TimeGrid
- Returns TimeGrid

Methods

Protected computeStatePrices

computeStatePrices(until: Size): void

Inherited from TreeLattice.computeStatePrices
- Defined in ql/methods/lattices/lattice.ts:130
Parameters
- until: Size
Returns void

descendant

descendant(i: Size, index: Size, branch: Size): Size

- Defined in ql/methods/lattices/bsmlattice.ts:55
Parameters
- i: Size
- index: Size
- branch: Size
Returns Size

discount

discount(i: Size, index: Size): DiscountFactor

- Defined in ql/methods/lattices/bsmlattice.ts:40
Parameters
- i: Size
- index: Size
Returns DiscountFactor

dt

dt(): Time

- Defined in ql/methods/lattices/bsmlattice.ts:32
Returns Time

grid

grid(t: Time): Real[]

Inherited from TreeLattice1D.grid

Overrides LatticeCuriouslyRecurringTemplate.grid
- Defined in ql/methods/lattices/lattice1d.ts:26
Parameters
- t: Time
Returns Real[]

init1D

init1D(timeGrid: TimeGrid, n: Size): TreeLattice1D<BlackScholesLattice<T>>

Inherited from TreeLattice1D.init1D
- Defined in ql/methods/lattices/lattice1d.ts:21
Parameters
- timeGrid: TimeGrid
- n: Size
Returns TreeLattice1D<BlackScholesLattice<T>>

initialize

initialize(asset: DiscretizedAsset, t: Time): void

Inherited from TreeLattice.initialize

Overrides LatticeCuriouslyRecurringTemplate.initialize
- Defined in ql/methods/lattices/lattice.ts:80
Parameters
- asset: DiscretizedAsset
- t: Time
Returns void

partialRollback

partialRollback(asset: DiscretizedAsset, to: Time): void

Inherited from TreeLattice.partialRollback

Overrides LatticeCuriouslyRecurringTemplate.partialRollback
- Defined in ql/methods/lattices/lattice.ts:91
Parameters
- asset: DiscretizedAsset
- to: Time
Returns void

presentValue

presentValue(asset: DiscretizedAsset): Real

Inherited from TreeLattice.presentValue

Overrides LatticeCuriouslyRecurringTemplate.presentValue
- Defined in ql/methods/lattices/lattice.ts:75
Parameters
- asset: DiscretizedAsset
Returns Real

probability

probability(i: Size, index: Size, branch: Size): Real

- Defined in ql/methods/lattices/bsmlattice.ts:59
Parameters
- i: Size
- index: Size
- branch: Size
Returns Real

riskFreeRate

riskFreeRate(): Rate

- Defined in ql/methods/lattices/bsmlattice.ts:28
Returns Rate

rollback

rollback(asset: DiscretizedAsset, to: Time): void

Inherited from TreeLattice.rollback

Overrides LatticeCuriouslyRecurringTemplate.rollback
- Defined in ql/methods/lattices/lattice.ts:86
Parameters
- asset: DiscretizedAsset
- to: Time
Returns void

size

size(i: Size): Size

- Defined in ql/methods/lattices/bsmlattice.ts:36
Parameters
- i: Size
Returns Size

statePrices

statePrices(i: Size): Real[]

Implementation of ITreeLattice.statePrices

Inherited from TreeLattice.statePrices
- Defined in ql/methods/lattices/lattice.ts:68
Parameters
- i: Size
Returns Real[]

stepback

stepback(i: Size, values: Real[], newValues: Real[]): void

Implementation of ITreeLattice.stepback

Overrides TreeLattice.stepback
- Defined in ql/methods/lattices/bsmlattice.ts:44
Parameters
- i: Size
- values: Real[]
- newValues: Real[]
Returns void

tlInit

tlInit(timeGrid: TimeGrid, n: Size): TreeLattice<BlackScholesLattice<T>>

Inherited from TreeLattice.tlInit
- Defined in ql/methods/lattices/lattice.ts:56
Parameters
- timeGrid: TimeGrid
- n: Size
Returns TreeLattice<BlackScholesLattice<T>>

underlying

underlying(i: Size, index: Size): Real

Overrides TreeLattice1D.underlying
- Defined in ql/methods/lattices/bsmlattice.ts:51
Parameters
- i: Size
- index: Size
Returns Real