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Finance

  

GetLocalVolatility

  

compute the local volatility at the given node of a binomial/trinomial tree

 

Calling Sequence

Parameters

Description

Examples

Compatibility

Calling Sequence

GetLocalVolatility(T, i, j, r)

Parameters

T

-

binomial or trinomial tree data structure

i

-

positive integer; time step

j

-

positive integer; node index

r

-

discount rate

Description

• 

The GetLocalVolatility command returns the local volatility for node j at level i of the tree T. See GetDescendants for more details about node indexing.

Examples

withFinance:

TTrinomialTree5,1,2,3,4,5,6,7

T:=moduleend module

(1)

TreePlotT,thickness=3,gridlines=true

GetLocalVolatilityT,3,3,0.03

0.1550744237

(2)

Compatibility

• 

The Finance[GetLocalVolatility] command was introduced in Maple 15.

• 

For more information on Maple 15 changes, see Updates in Maple 15.

See Also

Finance[BinomialTree]

Finance[BlackScholesBinomialTree]

Finance[BlackScholesTrinomialTree]

Finance[GetDescendants]

Finance[GetProbabilities]

Finance[GetUnderlying]

Finance[ImpliedBinomialTree]

Finance[ImpliedTrinomialTree]

Finance[SetProbabilities]

Finance[SetUnderlying]

Finance[TrinomialTree]

 


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