Re: Autocallable with trinomial tree

Posted by g m-10 on Jul 29, 2011; 9:13am
URL: http://quantlib.414.s1.nabble.com/Autocallable-with-trinomial-tree-tp6840p6841.html

Hi,
 
I'm finally using an EqualProbabilitiesBinomialTree with BlackScholesLattice<T>.
My coupons are defined as follows :
For t = 1 to 3
 If S(t) >= 70% * S(0) Then
  coupon(t) = t * (4% * 1000) - sum(from i = 0 to t-1)[coupon(i)]
 Else
  coupon(t) = 0
Therefore, I think I need to move forward through the tree to compute these coupons before rolling backward to apply callability.
Is that possible on a binomial tree?
 
Many Thanks!
 

---

From: [hidden email]
To: [hidden email]
Date: Tue, 26 Jul 2011 10:40:20 +0200
Subject: [Quantlib-users] Autocallable with trinomial tree

Hi all,
 
I'd like to price an autocallable on equity with conditional coupons, I checked the code for callable bond in ordre to get some ideas and I wonder if I can
use a trinomial tree scheme combined with an equity model.
 
Thank you for your help!

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