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After further investigations, I found that the sorting issue is not the
biggest problem, in the tree pricing of such an instrument (the daily range
accrual on interest rates).
THe biggest problem is in the tree calculation: as it was logical to expect,
it takes a very long time. On the other hand, the actual implementation
requires that the tree times must contain all instrument points.
Is there anybody who has hints, suggestions?
Maybe that the digitals could be evaluated without the above constraint? If
yes, how this could be implemented? Or
should I reduce the number of digitals in the future, with an appropriate
weighting factor?
Please, note that I need the tree pricing, because the instrument contains
some other exotic futures (the multi callability).
Thanks
Francesco
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