Recent changes to 56: binomial tree support for non-flat interest rateshttp://sourceforge.net/p/quantlib/patches/56/Recent changes to 56: binomial tree support for non-flat interest ratesenMon, 08 Nov 2010 23:12:10 -0000binomial tree support for non-flat interest rateshttp://sourceforge.net/p/quantlib/patches/56/<div class="markdown_content"><p>I have added 6 files in support for this :</p>
<p>ql/methods/lattices/generalizedcrr.hpp/cpp : Implement the Cox-Ross-Rubinstein equal jumps binomial tree, for non-constant interest rates ( per John Hull ).<br />
ql/methods/lattices/generalizedbsmlattice.hpp : Implements the appropriate discount factors at each time step in the binomial tree ( based on the forward rate at each step )<br />
ql/pricingengines/vanilla/generalizedbinomialengine.hpp : Implement compatibility with the GeneralizedBlackScholesProcess and the above changes. Also, re-implement the greeks.<br />
examples/equityoption.cpp : Added code to test the GeneralizedBinomialEngine/CRR/Lattice</p>
<p>In addition I have made the following changes to the exisiting files :</p>
<p>1. ql/pricingengines/vanilla/discretizedvanillaoption.hpp -- replaced the inclusion of bsmlattice.hpp with stochasticprocess.hpp. ( former is not needed and the discretizedvanillaoption need not be constrained to the standard bsmlattice )</p>
<p>2. ql/methods/lattices/binomialtree.hpp : Removed the inclusion of dividendschedule.hpp -- not needed. Additionally, made two methods in the EqualJumpsBinomialTree virtual - functions "underlying" and "probability" -- needed to support other equal jumps tree implementations.</p></div>Venky VemparalaMon, 08 Nov 2010 23:12:10 -0000http://sourceforge.netc2ab8299fcee8b4214f3c38bd79dddc8f307f33f