int main()
{
cout << "Forward sweep, Wilmott, Student Edition p. 193\n";
int depth;
cout << "How many subdivisions? ";
cin >> depth;
// Create the binomal lattice data conainer
const int n = 2;
Lattice<double, int, n> lattice1(depth);
// Test data; change to suit your own needs
double rootValue = 12.0;// Stock price now
double D0 = 0.04; // Dividend yield
double vol = 0.3; // Volatility
double r = 0.06; // Interest
double T = 1.0; // Time to expiry
cout << "Give value for expiry T: ";
cin >> T;
// Create the 'special' parameters
double k = T / double (depth);
double e = ::exp((r-D0)*k);
double sr = ::sqrt(exp(vol*vol*k) - 1.0);
double up = e * (1.0 + sr);
double down = e * (1.0 - sr);
// Populate lattice: forward induction
Lattice<double, int, 2> newLattice =
StandardLattice::createLattice(depth, rootValue, up, down);
// Now work back from the payoff function; BACKWARD INDUCTION
// First make the discrete payoff
double K = 10.0;
Vector<double, int> RHS = CallPayOff(K, newLattice[newLattice.MaxIndex()]);
Vector<double, int> RHS2 = PutPayOff(K, lattice1[lattice1.MaxIndex()]);
double p = 0.5;
double discounting = ::exp(- r*k);
double optionPrice = StandardLattice::traverse(newLattice, RHS, p, discounting);
double optionPrice2 = StandardLattice::traverse(newLattice, RHS2, p, discounting);
cout << "\nOption price C " << optionPrice << endl;
cout << "\nOption price P " << optionPrice2 << endl;
return 0;
}
template <class V, class I, int NumberNodes> void print(const Lattice<V, I, NumberNodes>& source)
{
for (I j = source.MinIndex(); j <= source.MaxIndex(); j++)
{
cout << "\nBranch Number " << j << ": [";
for (I i = source[j].MinIndex(); i <= source[j].MaxIndex(); i++)
{
cout << source[j][i] << ", ";
}
cout << "]";
}
}