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lattice_backward_traversals.h
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lattice_backward_traversals.h
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#pragma once
#if !defined(_LATTICE_BACKWARD_TRAVERSALS)
#define _LATTICE_BACKWARD_TRAVERSALS
#include"lattice_types.h"
#include"lattice_macros.h"
#include"lattice_utility.h"
#include"lattice_calibrator_results.h"
namespace lattice_backward_traversals {
using lattice_types::LatticeType;
using lattice_types::BarrierType;
using lattice_types::AssetClass;
using lattice_utility::DeltaTimeHolder;
using lattice_utility::RiskFreeRateHolder;
using lattice_utility::BarrierComparer;
using lattice_utility::DermanKaniErgenerAdjuster;
using lattice_utility::DiscountingStyle;
using lattice_utility::DiscountingFactor;
using lattice_calibrator_results::CalibratorTrinomialEquityResultsPtr;
// ==============================================================================
// ==================== Backward Traversal Algorithms ===========================
// ==============================================================================
template<LatticeType Type,
typename TimeAxis,
typename DeltaTime>
struct BackwardTraversal {};
// LatticeType::Binomial specialization
template<typename TimeAxis,
typename DeltaTime>
struct BackwardTraversal<LatticeType::Binomial, TimeAxis, DeltaTime> {
private:
template<typename LatticeObject, typename Generator, typename Payoff>
static void _backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff);
template<typename LatticeObject, typename Generator, typename Payoff>
static void _backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
BarrierType barrierType,typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
// This one is for payoffadjusted
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void _backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
PayoffAdjuster &&payoffAdjuster);
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void _backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
public:
template<typename LatticeObject, typename Generator, typename Payoff>
static void traverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff) {
_backTraverse(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff));
}
template<typename LatticeObject, typename Generator, typename Payoff>
static void traverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
_backTraverseBarrier(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff), barrierType,
barrier, rebate);
}
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void traverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster) {
_backTraverse(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff), std::forward<PayoffAdjuster>(payoffAdjuster));
}
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void traverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
_backTraverseBarrier(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff),
std::forward<PayoffAdjuster>(payoffAdjuster), barrierType, barrier, rebate);
}
};
// LatticeType::TwoVariableBinomial
template<typename TimeAxis,
typename DeltaTime>
struct BackwardTraversal<LatticeType::TwoVariableBinomial, TimeAxis, DeltaTime> {
private:
template<typename LatticeObject, typename MultidimLatticeObject, typename Generator, typename Payoff>
static void _backTraverse(LatticeObject &priceLattice,MultidimLatticeObject const &lattice, Generator &&generator,
DeltaTime const &deltaTime, Payoff &&payoff);
// This one is for payoffadjusted
template<typename LatticeObject, typename MultidimLatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void _backTraverse(LatticeObject &priceLattice, MultidimLatticeObject const &lattice, Generator &&generator,
DeltaTime const &deltaTime, Payoff &&payoff,PayoffAdjuster &&payoffAdjuster);
public:
template<typename LatticeObject, typename MultidimLatticeObject, typename Generator, typename Payoff>
static void traverse(LatticeObject &priceLattice, MultidimLatticeObject const &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff) {
_backTraverse(priceLattice,lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff));
}
template<typename LatticeObject, typename MultidimLatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void traverse(LatticeObject &priceLattice, MultidimLatticeObject const &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster) {
_backTraverse(priceLattice,lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff), std::forward<PayoffAdjuster>(payoffAdjuster));
}
};
// LatticeType::Trinomial specialization
template<typename TimeAxis,
typename DeltaTime>
struct BackwardTraversal<LatticeType::Trinomial, TimeAxis, DeltaTime> {
private:
template<typename LatticeObject, typename Generator>
static void _backTraverseNormal(std::size_t timeIdx,LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime);
template<typename LatticeObject, typename Generator>
static void _backTraverseReverting(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime);
template<typename LatticeObject, typename Generator, typename Payoff>
static void _backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff);
template<typename LatticeObject, typename Generator>
static void _backTraverseNormalBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
template<typename LatticeObject, typename Generator>
static void _backTraverseRevertingBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
template<typename LatticeObject, typename Generator, typename Payoff>
static void _backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
template<typename LatticeObject, typename Generator,typename PayoffAdjuster>
static void _backTraverseNormal(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, PayoffAdjuster &&payoffAdjuster);
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
static void _backTraverseReverting(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, PayoffAdjuster &&payoffAdjuster);
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void _backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
PayoffAdjuster &&payoffAdjuster);
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
static void _backTraverseNormalBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, PayoffAdjuster &&payoffAdjuster,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
static void _backTraverseRevertingBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, PayoffAdjuster &&payoffAdjuster,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void _backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate);
public:
template<typename LatticeObject, typename Generator, typename Payoff>
static void traverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff) {
_backTraverse(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff));
}
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void traverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster) {
_backTraverse(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff), std::forward<PayoffAdjuster>(payoffAdjuster));
}
template<typename LatticeObject, typename Generator, typename Payoff>
static void traverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
_backTraverseBarrier(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff),
barrierType, barrier, rebate);
}
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
static void traverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
_backTraverseBarrier(lattice, std::forward<Generator>(generator), deltaTime, std::forward<Payoff>(payoff), std::forward<PayoffAdjuster>(payoffAdjuster),
barrierType, barrier, rebate);
}
};
// ======================================================================================
// ==================== Implied Backward Traversal Algorithms ===========================
// ======================================================================================
template<LatticeType Type,
typename DeltaTime,
typename RiskFreeRate>
struct ImpliedBackwardTraversal {};
template<typename DeltaTime,
typename RiskFreeRate>
struct ImpliedBackwardTraversal<LatticeType::Trinomial,DeltaTime, RiskFreeRate> {
private:
template<typename LatticeObject, typename Payoff>
static void _backTraverse(LatticeObject &optionLattice,LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, DiscountingStyle style);
template<typename LatticeObject, typename Payoff,typename PayoffAdjuster>
static void _backTraverse(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, PayoffAdjuster &&payoffAdjuster, DiscountingStyle style);
template<typename LatticeObject, typename Payoff>
static void _backTraverseBarrier(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, BarrierType barrierType,typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate, DiscountingStyle style);
template<typename LatticeObject, typename Payoff, typename PayoffAdjuster>
static void _backTraverseBarrier(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate, DiscountingStyle style);
template<typename LatticeObject,typename Payoff>
static void _backTraverseBarrierDKEAdjustment(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, BarrierType barrierType, typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate, DiscountingStyle style);
template<typename LatticeObject, typename Payoff,typename PayoffAdjuster>
static void _backTraverseBarrierDKEAdjustment(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate, DiscountingStyle style);
public:
template<typename LatticeObject, typename Payoff>
static void traverse(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, DiscountingStyle style) {
_backTraverse(optionLattice, spotLattice, calibrationResults, deltaTime, riskFreeRate,
std::forward<Payoff>(payoff), style);
}
template<typename LatticeObject, typename Payoff,typename PayoffAdjuster>
static void traverse(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, PayoffAdjuster &&payoffAdjuster, DiscountingStyle style) {
_backTraverse(optionLattice, spotLattice, calibrationResults, deltaTime, riskFreeRate,
std::forward<Payoff>(payoff),std::forward<PayoffAdjuster>(payoffAdjuster), style);
}
template<typename LatticeObject,typename Payoff>
static void traverseBarrier(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, BarrierType barrierType, typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate,
bool dermanKaniErgenerAdujstment,DiscountingStyle style) {
if(dermanKaniErgenerAdujstment)
_backTraverseBarrierDKEAdjustment(optionLattice, spotLattice, calibrationResults, deltaTime, riskFreeRate,
std::forward<Payoff>(payoff), barrierType, barrier, rebate, style);
else
_backTraverseBarrier(optionLattice, spotLattice, calibrationResults, deltaTime, riskFreeRate,
std::forward<Payoff>(payoff), barrierType, barrier, rebate, style);
}
template<typename LatticeObject,typename Payoff,typename PayoffAdjuster>
static void traverseBarrier(LatticeObject &optionLattice, LatticeObject const &spotLattice,
CalibratorTrinomialEquityResultsPtr<LatticeObject> const& calibrationResults,
DeltaTime const &deltaTime, RiskFreeRate const &riskFreeRate,
Payoff &&payoff, PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate, bool dermanKaniErgenerAdujstment, DiscountingStyle style) {
if(dermanKaniErgenerAdujstment)
_backTraverseBarrierDKEAdjustment(optionLattice, spotLattice, calibrationResults, deltaTime, riskFreeRate,
std::forward<Payoff>(payoff), std::forward<PayoffAdjuster>(payoffAdjuster), barrierType, barrier, rebate, style);
else
_backTraverseBarrier(optionLattice, spotLattice, calibrationResults, deltaTime, riskFreeRate,
std::forward<Payoff>(payoff), std::forward<PayoffAdjuster>(payoffAdjuster), barrierType, barrier, rebate, style);
}
};
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Binomial, TimeAxis, DeltaTime>::
_backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff) {
typedef DeltaTimeHolder<DeltaTime> DT;
const std::size_t lastIdx = lattice.timeDimension() - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
typename LatticeObject::Node_type dt{};
for (auto i = 0; i < lastNodesSize; ++i) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n > 0; --n) {
nodesSize = lattice.nodesAtIdx(n).size();
dt = DT::deltaTime(n, deltaTime);
for (auto i = 0; i < nodesSize; ++i) {
lattice(n, i) = generator(lattice(n, i),lattice(n + 1, i), lattice(n + 1, i + 1), dt);
}
}
dt = DT::deltaTime(0, deltaTime);
lattice(0, 0) = generator(lattice(0, 0),lattice(1, 0), lattice(1, 1), dt);
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Binomial, TimeAxis, DeltaTime>::
_backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
BarrierType barrierType,typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate) {
typedef DeltaTimeHolder<DeltaTime> DT;
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
auto cmp = BC::comparer(barrierType);
const std::size_t lastIdx = lattice.timeDimension() - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
Node dt{};
for (auto i = 0; i < lastNodesSize; ++i) {
if (cmp(lattice(lastIdx, i), barrier)) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
else {
lattice(lastIdx, i) = Node{};
}
}
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n > 0; --n) {
nodesSize = lattice.nodesAtIdx(n).size();
dt = DT::deltaTime(n, deltaTime);
for (auto i = 0; i < nodesSize; ++i) {
if (cmp(lattice(n, i), barrier)) {
lattice(n, i) = generator(lattice(n, i), lattice(n + 1, i), lattice(n + 1, i + 1), dt);
}
else {
lattice(n, i) = rebate;
}
}
}
dt = DT::deltaTime(0, deltaTime);
if (cmp(lattice(0, 0),barrier)) {
lattice(0, 0) = generator(lattice(0, 0), lattice(1, 0), lattice(1, 1), dt);
}
else {
lattice(0, 0) = rebate;
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Binomial, TimeAxis, DeltaTime>::
_backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster) {
typedef DeltaTimeHolder<DeltaTime> DT;
const std::size_t lastIdx = lattice.timeDimension() - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
typename LatticeObject::Node_type dt{};
typename LatticeObject::Node_type value{};
for (auto i = 0; i < lastNodesSize; ++i) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n > 0; --n) {
nodesSize = lattice.nodesAtIdx(n).size();
dt = DT::deltaTime(n, deltaTime);
for (auto i = 0; i < nodesSize; ++i) {
value = generator(lattice(n, i),lattice(n + 1, i), lattice(n + 1, i + 1), dt);
payoffAdjuster(value, lattice(n, i));
lattice(n, i) = value;
}
}
dt = DT::deltaTime(0, deltaTime);
value = generator(lattice(0, 0),lattice(1, 0), lattice(1, 1), dt);
payoffAdjuster(value, lattice(0, 0));
lattice(0, 0) = value;
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Binomial, TimeAxis, DeltaTime>::
_backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier,typename LatticeObject::Node_type const &rebate) {
typedef DeltaTimeHolder<DeltaTime> DT;
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
const std::size_t lastIdx = lattice.timeDimension() - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
Node dt{};
Node value{};
for (auto i = 0; i < lastNodesSize; ++i) {
if (cmp(lattice(lastIdx, i), barrier)) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
else {
lattice(lastIdx, i) = Node{};
}
}
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n > 0; --n) {
nodesSize = lattice.nodesAtIdx(n).size();
dt = DT::deltaTime(n, deltaTime);
for (auto i = 0; i < nodesSize; ++i) {
if (cmp(lattice(n, i), barrier)) {
value = generator(lattice(n, i), lattice(n + 1, i), lattice(n + 1, i + 1), dt);
payoffAdjuster(value, lattice(n, i));
lattice(n, i) = value;
}
else {
lattice(n, i) = rebate;
}
}
}
dt = DT::deltaTime(0, deltaTime);
if (cmp(lattice(0, 0),barrier)) {
value = generator(lattice(0, 0), lattice(1, 0), lattice(1, 1), dt);
payoffAdjuster(value, lattice(0, 0));
lattice(0, 0) = value;
}
else {
lattice(0, 0) = rebate;
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject,typename MultidimLatticeObject, typename Generator, typename Payoff>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::TwoVariableBinomial, TimeAxis, DeltaTime>::
_backTraverse(LatticeObject &priceLattice, MultidimLatticeObject const &lattice, Generator &&generator,
DeltaTime const &deltaTime, Payoff &&payoff) {
typedef DeltaTimeHolder<DeltaTime> DT;
typename LatticeObject::Node_type dt{};
auto tree1 = lattice.getFactor(0);
auto tree2 = lattice.getFactor(1);
std::size_t const treeSize = priceLattice.timeDimension();
std::size_t const lastIdx = treeSize - 1;
std::size_t const lastNodesSize = priceLattice.nodesAtIdx(lastIdx).size();
std::size_t factorLastNodesSize = tree1.nodesAtIdx(lastIdx).size();
std::size_t col{ 0 }, row{ 0 };
for (auto i = 0; i < lastNodesSize; ++i) {
col = i % factorLastNodesSize;
if ((i > 0) && ((i%factorLastNodesSize) == 0)) row++;
priceLattice(lastIdx, i) = payoff(tree1(lastIdx, row), tree2(lastIdx, col));
}
std::size_t nodesSize{ 0 };
std::size_t factorNodesSize{ 0 };
for (auto n = lastIdx - 1; n > 0; --n) {
nodesSize = priceLattice.nodesAtIdx(n).size();
factorNodesSize = tree1.nodesAtIdx(n).size();
dt = DT::deltaTime(n, deltaTime);
row = 0;
for (auto i = 0; i < nodesSize; ++i) {
if ((i > 0) && ((i%factorNodesSize) == 0)) row++;
priceLattice(n, i) = generator(priceLattice(n, i),/*down-down*/ priceLattice(n + 1, i + row), /*down-up*/priceLattice(n + 1, i + row + 1),
/*up-down*/ priceLattice(n + 1, i + row + factorLastNodesSize),/*up-up*/ priceLattice(n + 1, i + row + factorLastNodesSize + 1), dt);
}
factorLastNodesSize = factorNodesSize;
}
dt = DT::deltaTime(0, deltaTime);
priceLattice(0, 0) = generator(priceLattice(0, 0), priceLattice(1, 0), priceLattice(1, 1),
priceLattice(1, 2), priceLattice(1, 3), dt);
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename MultidimLatticeObject, typename Generator, typename Payoff,typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::TwoVariableBinomial, TimeAxis, DeltaTime>::
_backTraverse(LatticeObject &priceLattice, MultidimLatticeObject const &lattice, Generator &&generator,
DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster) {
typedef DeltaTimeHolder<DeltaTime> DT;
typename LatticeObject::Node_type dt{};
typename LatticeObject::Node_type value{};
auto tree1 = lattice.getFactor(0);
auto tree2 = lattice.getFactor(1);
std::size_t const treeSize = priceLattice.timeDimension();
std::size_t const lastIdx = treeSize - 1;
std::size_t const lastNodesSize = priceLattice.nodesAtIdx(lastIdx).size();
std::size_t factorLastNodesSize = tree1.nodesAtIdx(lastIdx).size();
std::size_t col{ 0 }, row{ 0 };
for (auto i = 0; i < lastNodesSize; ++i) {
col = i % factorLastNodesSize;
if ((i > 0) && ((i%factorLastNodesSize) == 0)) row++;
priceLattice(lastIdx, i) = payoff(tree1(lastIdx, row), tree2(lastIdx, col));
}
std::size_t nodesSize{ 0 };
std::size_t factorNodesSize{ 0 };
for (auto n = lastIdx - 1; n > 0; --n) {
nodesSize = priceLattice.nodesAtIdx(n).size();
factorNodesSize = tree1.nodesAtIdx(n).size();
dt = DT::deltaTime(n, deltaTime);
col = 0; row = 0;
for (auto i = 0; i < nodesSize; ++i) {
col = i % factorNodesSize;
if ((i > 0) && ((i%factorNodesSize) == 0)) row++;
value = generator(priceLattice(n, i),/*down-down*/ priceLattice(n + 1, i + row), /*down-up*/priceLattice(n + 1, i + row + 1),
/*up-down*/ priceLattice(n + 1, i + row + factorLastNodesSize),/*up-up*/ priceLattice(n + 1, i + row + factorLastNodesSize + 1), dt);
payoffAdjuster(value, tree1(n, row), tree2(n, col));
priceLattice(n, i) = value;
}
factorLastNodesSize = factorNodesSize;
}
dt = DT::deltaTime(0, deltaTime);
value = generator(priceLattice(0, 0), priceLattice(1, 0), priceLattice(1, 1),
priceLattice(1, 2), priceLattice(1, 3), dt);
payoffAdjuster(value, tree1(0, 0), tree2(0, 0));
priceLattice(0, 0) = value;
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseNormal(std::size_t timeIdx,LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime) {
typedef DeltaTimeHolder<DeltaTime> DT;
typename LatticeObject::Node_type dt{};
std::size_t const revertBranchesSize = timeIdx;
std::size_t nodesSize{ 0 };
for (auto n = timeIdx - 1; n > 0; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
for (auto i = 0; i < nodesSize; ++i) {
lattice(n, i) = generator(lattice(n, i), lattice(n + 1, i), lattice(n + 1, i + 1), lattice(n + 1, i + 2), dt,
revertBranchesSize, nodesSize, i);
}
}
dt = DT::deltaTime(0, deltaTime);
lattice(0, 0) = generator(lattice(0, 0), lattice(1, 0), lattice(1, 1), lattice(1, 2), dt,
revertBranchesSize, 1, 0);
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseReverting(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime) {
typedef DeltaTimeHolder<DeltaTime> DT;
typename LatticeObject::Node_type dt{};
const std::size_t lastIdx = lattice.timeDimension() - 1;
std::size_t const revertBranchesSize = timeIdx;
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n >= timeIdx; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
lattice(n, 0) = generator(lattice(n, 0), lattice(n + 1, 0), lattice(n + 1, 1), lattice(n + 1, 2), dt,
revertBranchesSize, nodesSize, 0);
for (auto i = 1; i < nodesSize - 1; ++i) {
lattice(n, i) = generator(lattice(n, i), lattice(n + 1, i - 1), lattice(n + 1, i), lattice(n + 1, i + 1), dt,
revertBranchesSize, nodesSize, i);
}
lattice(n, nodesSize - 1) = generator(lattice(n, nodesSize - 1), lattice(n + 1, nodesSize - 3), lattice(n + 1, nodesSize - 2), lattice(n + 1, nodesSize - 1), dt,
revertBranchesSize, nodesSize, nodesSize - 1);
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff) {
const std::size_t firstRevertIdx = lattice.firstRevertingIdx();
const std::size_t treeSize = lattice.timeDimension();
const std::size_t lastIdx = treeSize - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
for (auto i = 0; i < lastNodesSize; ++i) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
if (firstRevertIdx == 0) {
// This trinomial tree does not have reverting property:
_backTraverseNormal(lastIdx, lattice, std::forward<Generator>(generator), deltaTime);
}
else {
// This trinomial tree does have reverting property:
_backTraverseReverting(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime);
_backTraverseNormal(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime);
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseNormalBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
typedef DeltaTimeHolder<DeltaTime> DT;
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
std::size_t const revertBranchesSize = timeIdx;
auto cmp = BC::comparer(barrierType);
Node dt{};
std::size_t nodesSize{ 0 };
for (auto n = timeIdx - 1; n > 0; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
for (auto i = 0; i < nodesSize; ++i) {
if (cmp(lattice(n, i),barrier)) {
lattice(n, i) = generator(lattice(n, i), lattice(n + 1, i), lattice(n + 1, i + 1), lattice(n + 1, i + 2), dt,
revertBranchesSize, nodesSize, i);
}
else {
lattice(n, i) = rebate;
}
}
}
dt = DT::deltaTime(0, deltaTime);
if (cmp(lattice(0, 0),barrier)) {
lattice(0, 0) = generator(lattice(0, 0), lattice(1, 0), lattice(1, 1), lattice(1, 2), dt,
revertBranchesSize, 1, 0);
}
else {
lattice(0, 0) = rebate;
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseRevertingBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
typedef DeltaTimeHolder<DeltaTime> DT;
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
auto cmp = BC::comparer(barrierType);
const std::size_t lastIdx = lattice.timeDimension() - 1;
std::size_t const revertBranchesSize = timeIdx;
Node dt{};
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n >= timeIdx; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
if (cmp(lattice(n, 0),barrier)) {
lattice(n, 0) = generator(lattice(n, 0), lattice(n + 1, 0), lattice(n + 1, 1), lattice(n + 1, 2), dt,
revertBranchesSize, nodesSize, 0);
}
else {
lattice(n, 0) = rebate;
}
for (auto i = 1; i < nodesSize - 1; ++i) {
if (cmp(lattice(n, i),barrier)) {
lattice(n, i) = generator(lattice(n, i), lattice(n + 1, i - 1), lattice(n + 1, i), lattice(n + 1, i + 1), dt,
revertBranchesSize, nodesSize, i);
}
else {
lattice(n, i) = rebate;
}
}
if (cmp(lattice(n, nodesSize - 1),barrier)) {
lattice(n, nodesSize - 1) = generator(lattice(n, nodesSize - 1), lattice(n + 1, nodesSize - 3), lattice(n + 1, nodesSize - 2), lattice(n + 1, nodesSize - 1), dt,
revertBranchesSize, nodesSize, nodesSize - 1);
}
else {
lattice(n, nodesSize - 1) = rebate;
}
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
auto cmp = BC::comparer(barrierType);
const std::size_t firstRevertIdx = lattice.firstRevertingIdx();
const std::size_t treeSize = lattice.timeDimension();
const std::size_t lastIdx = treeSize - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
for (auto i = 0; i < lastNodesSize; ++i) {
if (cmp(lattice(lastIdx, i),barrier)) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
else {
lattice(lastIdx, i) = Node{};
}
}
if (firstRevertIdx == 0) {
// This trinomial tree does not have reverting property:
_backTraverseNormalBarrier(lastIdx, lattice, std::forward<Generator>(generator), deltaTime, barrierType, barrier, rebate);
}
else {
// This trinomial tree does have reverting property:
_backTraverseRevertingBarrier(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime, barrierType, barrier, rebate);
_backTraverseNormalBarrier(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime, barrierType, barrier, rebate);
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseNormal(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, PayoffAdjuster &&payoffAdjuster) {
typedef DeltaTimeHolder<DeltaTime> DT;
std::size_t const revertBranchesSize = timeIdx;
typename LatticeObject::Node_type dt{};
typename LatticeObject::Node_type value{};
std::size_t nodesSize{ 0 };
for (auto n = timeIdx - 1; n > 0; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
for (auto i = 0; i < nodesSize; ++i) {
value = generator(lattice(n, i), lattice(n + 1, i), lattice(n + 1, i + 1), lattice(n + 1, i + 2), dt,
revertBranchesSize, nodesSize, i);
payoffAdjuster(value, lattice(n, i));
lattice(n, i) = value;
}
}
dt = DT::deltaTime(0, deltaTime);
value = generator(lattice(0, 0), lattice(1, 0), lattice(1, 1), lattice(1, 2), dt,
revertBranchesSize, 1, 0);
payoffAdjuster(value, lattice(0, 0));
lattice(0, 0) = value;
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseReverting(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, PayoffAdjuster &&payoffAdjuster) {
typedef DeltaTimeHolder<DeltaTime> DT;
typename LatticeObject::Node_type dt{};
typename LatticeObject::Node_type value{};
const std::size_t lastIdx = lattice.timeDimension() - 1;
std::size_t const revertBranchesSize = timeIdx;
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n >= timeIdx; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
value = generator(lattice(n, 0), lattice(n + 1, 0), lattice(n + 1, 1), lattice(n + 1, 2), dt,
revertBranchesSize, nodesSize, 0);
payoffAdjuster(value, lattice(n, 0));
lattice(n, 0) = value;
for (auto i = 1; i < nodesSize - 1; ++i) {
value = generator(lattice(n, i), lattice(n + 1, i - 1), lattice(n + 1, i), lattice(n + 1, i + 1), dt,
revertBranchesSize, nodesSize, i);
payoffAdjuster(value, lattice(n, i));
lattice(n, i) = value;
}
value = generator(lattice(n, nodesSize - 1), lattice(n + 1, nodesSize - 3), lattice(n + 1, nodesSize - 2), lattice(n + 1, nodesSize - 1), dt,
revertBranchesSize, nodesSize, nodesSize - 1);
payoffAdjuster(value, lattice(n, nodesSize - 1));
lattice(n, nodesSize - 1) = value;
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverse(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff, PayoffAdjuster &&payoffAdjuster) {
const std::size_t firstRevertIdx = lattice.firstRevertingIdx();
const std::size_t treeSize = lattice.timeDimension();
const std::size_t lastIdx = treeSize - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
for (auto i = 0; i < lastNodesSize; ++i) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
if (firstRevertIdx == 0) {
// This trinomial tree does not have reverting property:
_backTraverseNormal(lastIdx, lattice, std::forward<Generator>(generator), deltaTime, std::forward<PayoffAdjuster>(payoffAdjuster));
}
else {
// This trinomial tree does have reverting property:
_backTraverseReverting(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime,std::forward<PayoffAdjuster>(payoffAdjuster));
_backTraverseNormal(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime, std::forward<PayoffAdjuster>(payoffAdjuster));
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseNormalBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime,
PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier,
typename LatticeObject::Node_type const &rebate) {
typedef DeltaTimeHolder<DeltaTime> DT;
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
auto cmp = BC::comparer(barrierType);
std::size_t const revertBranchesSize = timeIdx;
Node dt{};
Node value{};
std::size_t nodesSize{ 0 };
for (auto n = timeIdx - 1; n > 0; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
for (auto i = 0; i < nodesSize; ++i) {
if (cmp(lattice(n, i),barrier)) {
value = generator(lattice(n, i), lattice(n + 1, i), lattice(n + 1, i + 1), lattice(n + 1, i + 2), dt,
revertBranchesSize, nodesSize, i);
payoffAdjuster(value, lattice(n, i));
lattice(n, i) = value;
}
else {
lattice(n, i) = rebate;
}
}
}
dt = DT::deltaTime(0, deltaTime);
if (cmp(lattice(0, 0),barrier)) {
value = generator(lattice(0, 0), lattice(1, 0), lattice(1, 1), lattice(1, 2), dt,
revertBranchesSize, 1, 0);
payoffAdjuster(value, lattice(0, 0));
lattice(0, 0) = value;
}
else {
lattice(0, 0) = rebate;
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseRevertingBarrier(std::size_t timeIdx, LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime,
PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
typedef DeltaTimeHolder<DeltaTime> DT;
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
auto cmp = BC::comparer(barrierType);
const std::size_t lastIdx = lattice.timeDimension() - 1;
std::size_t const revertBranchesSize = timeIdx;
Node dt{};
Node value{};
std::size_t nodesSize{ 0 };
for (auto n = lastIdx - 1; n >= timeIdx; --n) {
dt = DT::deltaTime(n, deltaTime);
nodesSize = lattice.nodesAtIdx(n).size();
if (cmp(lattice(n, 0),barrier)) {
value = generator(lattice(n, 0), lattice(n + 1, 0), lattice(n + 1, 1), lattice(n + 1, 2), dt,
revertBranchesSize, nodesSize, 0);
payoffAdjuster(value, lattice(n, 0));
lattice(n, 0) = value;
}
else {
lattice(n, 0) = rebate;
}
for (auto i = 1; i < nodesSize - 1; ++i) {
if (cmp(lattice(n, i),barrier)) {
value = generator(lattice(n, i), lattice(n + 1, i - 1), lattice(n + 1, i), lattice(n + 1, i + 1), dt,
revertBranchesSize, nodesSize, i);
payoffAdjuster(value, lattice(n, i));
lattice(n, i) = value;
}
else {
lattice(n, i) = rebate;
}
}
if (cmp(lattice(n, nodesSize - 1),barrier)) {
value = generator(lattice(n, nodesSize - 1), lattice(n + 1, nodesSize - 3), lattice(n + 1, nodesSize - 2), lattice(n + 1, nodesSize - 1), dt,
revertBranchesSize, nodesSize, nodesSize - 1);
payoffAdjuster(value, lattice(n, nodesSize - 1));
lattice(n, nodesSize - 1) = value;
}
else {
lattice(n, nodesSize - 1) = rebate;
}
}
}
template<typename TimeAxis,
typename DeltaTime>
template<typename LatticeObject, typename Generator, typename Payoff, typename PayoffAdjuster>
void lattice_backward_traversals::BackwardTraversal<lattice_types::LatticeType::Trinomial, TimeAxis, DeltaTime>::
_backTraverseBarrier(LatticeObject &lattice, Generator &&generator, DeltaTime const &deltaTime, Payoff &&payoff,
PayoffAdjuster &&payoffAdjuster, BarrierType barrierType, typename LatticeObject::Node_type const &barrier, typename LatticeObject::Node_type const &rebate) {
typedef typename LatticeObject::Node_type Node;
typedef BarrierComparer<Node> BC;
auto cmp = BC::comparer(barrierType);
const std::size_t firstRevertIdx = lattice.firstRevertingIdx();
const std::size_t treeSize = lattice.timeDimension();
const std::size_t lastIdx = treeSize - 1;
const std::size_t lastNodesSize = lattice.nodesAtIdx(lastIdx).size();
for (auto i = 0; i < lastNodesSize; ++i) {
if (cmp(lattice(lastIdx, i),barrier)) {
lattice(lastIdx, i) = payoff(lattice(lastIdx, i));
}
else {
lattice(lastIdx, i) = Node{};
}
}
if (firstRevertIdx == 0) {
// This trinomial tree does not have reverting property:
_backTraverseNormalBarrier(lastIdx, lattice, std::forward<Generator>(generator), deltaTime,
std::forward<PayoffAdjuster>(payoffAdjuster),barrierType,barrier,rebate);
}
else {
// This trinomial tree does have reverting property:
_backTraverseRevertingBarrier(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime,
std::forward<PayoffAdjuster>(payoffAdjuster), barrierType, barrier, rebate);
_backTraverseNormalBarrier(firstRevertIdx - 1, lattice, std::forward<Generator>(generator), deltaTime,
std::forward<PayoffAdjuster>(payoffAdjuster), barrierType, barrier, rebate);