Sample code for building a binomial/trinomial tree

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Sample code for building a binomial/trinomial tree

Richard Fu

Hi,

 

I wonder if anyone has sample code that instantiates StochasticProccess1D and builds binomial or trinomial trees?  Thanks!

 

 

Richard

 

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Re: Sample code for building a binomial/trinomial tree

Luigi Ballabio
Hello Richard,
    the code for binomial and trinomial trees is in the `ql/methods/lattices` folder.  For an example of code instantiating a binomial tree, you can look at the BinomialVanillaEngine class in `ql/pricingengines/vanilla/binomialengine.hpp`.  For a trinomial tree, you can look at any of the models in `ql/models/shortrate`.

Luigi


On Fri, Jun 2, 2017 at 3:48 PM Richard Fu <[hidden email]> wrote:

Hi,

 

I wonder if anyone has sample code that instantiates StochasticProccess1D and builds binomial or trinomial trees?  Thanks!

 

 

Richard

 

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