TrinomialTree::descendant Usage

[Smith, Dale (Norcross)]

Hello,

 

I’ve looked at the implementation of TrinomialTree and have a question about TrinomialTree::descendant. I’m assuming the tree looks like the enclosed. I filled in the value of descendent(I,j,branch) (branch = 0, 1, or 2).

 

What does descendent mean in this case? I did read the code, made a copy of it and put in some print statements to see what’s happening. I’m not able to determine how descendant is used. I’ve also looked at TreeLattice<Impl>::stepback. In this method, descendant would be the index into values, which I assume holds prices of the instrument valued. However, this doesn’t give much light for me.

 

My goal is to implement a Hull-White tree with the discrete alpha calculation, instead of the continuous-time implementation in the HullWhite class. HullWhite gives values close to those of the example in their 1994 paper, but it’s not quite the same.

 

Thanks,

Dale Smith, Ph.D.

Senior Financial Quantitative Analyst

Risk & Compliance

Fiserv.

107 Technology Park

Norcross, GA 30092

Office: 678-375-5315

Mobile: [phone]

Mail: [hidden email]

www.fiserv.com

 

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