LatticeGreeks

Greeks from a binomial tree. delta and gamma are read straight off the first two backward-induction slices — they cost nothing beyond the price. vega, rho and theta rebuild the tree with a bumped parameter (two or three extra trees), which for an O(n^2) lattice is still cheap.

This is the tree engine's answer to the adjoint sweep: there is no tape, so the sensitivities come from the lattice geometry and small rebuilds instead.

View source ↗Full module reference on javadoc.io ↗

Record components

price: double
delta: double
gamma: double
vega: double
rho: double
theta: double

Methods

static LatticeGreeks vanilla(double spot, double rate, double dividend, double vol, double maturity, int steps, BinomialTree.Method method, OptionType type, double strike, ExerciseSchedule schedule)

spot: spot
rate: risk-free rate
dividend: continuous dividend yield
vol: volatility
maturity: years to expiry
steps: tree steps
method: lattice parameterisation
type: call or put
strike: strike
schedule: European / American / Bermudan exercise