Working CRR with r=0

Author: aleCombi

examples/example.jl

@@ -3,12 +3,16 @@ using BenchmarkTools
 
 """Example code with benchmarks"""
 # Define market data and payoff
-market_inputs = h.BlackScholesInputs(0, 0.4, 1, 0.4)
+today=0
+rate=0
+spot=1
+sigma=0.4
+market_inputs = h.BlackScholesInputs(today, rate, spot, sigma)
 payoff = h.VanillaEuropeanCall(1, 1)
 analytical_pricer = h.Pricer(payoff, market_inputs, h.BlackScholesMethod())
-price = h.price(payoff, market_inputs, h.BlackScholesMethod())
+bs_price = h.price(payoff, market_inputs, h.BlackScholesMethod())
 
-crr = h.CoxRossRubinsteinMethod(2000)
+crr = h.CoxRossRubinsteinMethod(800)
 crr_pricer = h.Pricer(payoff, market_inputs, crr)
 println("Cox Ross Rubinstein:")
 println(crr_pricer())

src/pricing_methods.jl

@@ -86,12 +86,11 @@ function price(payoff::P, market_inputs::BlackScholesInputs, method::CoxRossRubi
 
   p = up_probability
   value = payoff(spots_at_i(method.steps))
-
-  for step in method.steps-1:-1:0
+  print(spots_at_i(method.steps))
+  for step in (method.steps-1):-1:0
     continuation = p * value[2:end] + (1 - p) * value[1:end-1]
     df = exp(-market_inputs.rate * ΔT)
     value = df * continuation
-
   end
 
   return value