Struct TrinomialLattice 

pub struct TrinomialLattice {
    pub dt: f64,
    pub dx: f64,
    /* private fields */
}

A recombining trinomial lattice over the integer state grid x_j = j * dx (the caller maps j to its own state, e.g. r(i, j) = alpha_i + j * dx for a fitted short-rate tree).

Built from a per-node branching closure, so edge-switching trees (Hull-White clamping) and plain diffusions use the same engine. The per-layer index ranges follow from reachability. Discounting is per node — df(layer, j) — because for fixed income the short rate lives on the node; equity-style trees pass a constant.

Fields

dt: f64

dx: f64

Implementations

impl TrinomialLattice

pub fn build( n: usize, dt: f64, dx: f64, branching: &dyn Fn(usize, i32) -> TrinomialBranch, ) -> Result<TrinomialLattice, RustyQLibError>

Build n steps of the lattice from the branching rule. Probabilities are validated per node; targets may shift by at most one index per step (|target - j| <= 1), which keeps the tree recombining.

pub fn steps(&self) -> usize

pub fn layer_range(&self, i: usize) -> (i32, i32)

Node index range (j_min, j_max) of a layer.

pub fn price( &self, node_df: &dyn Fn(usize, i32) -> f64, terminal: &dyn Fn(i32) -> f64, exercise: Option<&dyn Fn(usize, i32, f64) -> f64>, ) -> f64

Backward induction. node_df(i, j) is the one-step discount at the node (state-dependent: e^{-r(i,j) dt} on a short-rate tree); terminal(j) values the final layer; exercise (when given) maps (layer, j, continuation) to the node value.

pub fn arrow_debreu(&self, node_df: &dyn Fn(usize, i32) -> f64) -> Vec<Vec<f64>>

Arrow-Debreu state prices by forward induction: Q[i][j - j_min[i]] is the value today of receiving 1 at node (i, j). The workhorse of short-rate curve fitting — Hull-White’s alpha_i shifts solve sum_j Q[i][j] e^{-(alpha_i + j dx) dt} = P(0, t_{i+1}) layer by layer. sum_j Q[n][j] is the tree’s discount factor to t_n.

Trait Implementations

impl Clone for TrinomialLattice

fn clone(&self) -> TrinomialLattice

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for TrinomialLattice

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.