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Finance

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

 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

 > $\mathrm{with}\left(\mathrm{Finance}\right):$
 > $T≔\mathrm{TrinomialTree}\left(5,⟨1,2,3,4,5,6,7⟩\right)$
 ${T}{:=}{\mathbf{module}}\left({}\right)\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{}\phantom{\rule[-0.0ex]{0.5em}{0.0ex}}{\mathbf{end module}}$ (1)
 > $\mathrm{TreePlot}\left(T,\mathrm{thickness}=3,\mathrm{gridlines}=\mathrm{true}\right)$ > $\mathrm{GetLocalVolatility}\left(T,3,3,0.03\right)$
 ${0.1550744237}$ (2)

Compatibility

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