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Oct 2

Trinomial tree class for short rate model

Posted by abiao at 21:05 | Code » C++ | Comments(0) | Reads(9951)
This page comprises the code and items of a C++ class that could be applied to construct a trinomial tree for the short rate.  The tree matches to the yield curve but not to the volatility. curve.  

The programming code is grounded  on the book "Implementing Derivatives Models", page 260, Clewlow and Strickland,  the code specifies a C++ implementation of a tree object.  By input a set of parameters the class will form an array of nodes, each one corresponding to a node on the tree.  Currently the tree is matched to the underlying interest rate curve, but not a vol. curve.  

http://www.phineas.pwp.blueyonder.co.uk/TreeClass.htm


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