Implementation - 2023.2 English

Vitis Libraries

Release Date
2023-12-20
Version
2023.2 English

This section mainly introduces the implementation process of short-rate and discount, which is applied in Tree Swaption Engine. They are core part for option pricing. As part of Tree Engine, the class \(CIRModel\) implements the single-factor CIR model to calculate short-rate and discount by using continuous compounding. The implementation process is introduced as follows:

    1. Since the short-rate at the current time point is independent from the short-rate at the previous time point, there is no need to calculate the short-rate in this module.
    2. For implementing the generic Tree framework, this model only performs the calculation of some trinomial tree related parameters.
  1. The discount is calculated at time point \(t\) with the duration \(dt\) based on the short-rate.