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[Paul Symonds]

Further to my question yesterday how do you know if a pricing engine uses a Trinomial tree?
 

Regards

Paul
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[Luigi Ballabio]

You'll have to look at the documentation or the code to be sure. In general, though, tree-based pricing engines using short-rate models all use trinomial trees.  Binomial trees are used for modeling stocks.

Luigi

On Thu, Jan 26, 2017 at 5:11 PM Paul Symonds <[hidden email]> wrote:

Further to my question yesterday how do you know if a pricing engine uses a Trinomial tree?


Regards

Paul
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[Paul Symonds]

Luigi

Thanks I've been looking through the books and the code. Also your YouTube videos.  All really great.  I can't believe how much is there and all open.

I also looked at www.opensourcerisk.org an amazing project using QuantLib

Have a good weekend.

Regards

Paul Symonds

Sent from my iPhone

On 27 Jan 2017, at 11:49, Luigi Ballabio <[hidden email]> wrote:

You'll have to look at the documentation or the code to be sure. In general, though, tree-based pricing engines using short-rate models all use trinomial trees.  Binomial trees are used for modeling stocks.

Luigi

On Thu, Jan 26, 2017 at 5:11 PM Paul Symonds <[hidden email]> wrote:

Further to my question yesterday how do you know if a pricing engine uses a Trinomial tree?


Regards

Paul
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