qlBinomialPricingEngine – Create pricing engines with discretised time

Creates an engine which uses discretised time (e.g., binomial or finite-difference). See also qlPricingEngine – Create a engine for pricing derivatives.

Usage:

=qlBinomialPricingEngine(<ObjPrefix>, <EngineID>,
                         <ProcessID>, <TimeSteps>)

<ObjPrefix>

Optional prefix for names of objects created with this function

<EngineID>

The type of engine that is to be constructed. Should be one of following:

• AEQPB – AdditiveEQPBinomialTree

• CRR – CoxRossRubinstein

• FDA – FDAmericanEngine

• FDB – FDBermudanEngine

• FDE – FDEuropeanEngine

• JOSHI – Joshi4

• JR – JarrowRudd [multiplicative, equal probabilities binomial tree]

• LR – LeisenReimer [multiplicative]

• TIAN – Tian [third moment matching, multiplicative]

• TRI – Trigeorgis [additive equal jumps binomial tree]

<ProcessID>

Object of type GeneralizedBlackScholesProcess, created for example with qlGeneralizedBlackScholesProcess – Create an object representing the Black-Scholes process

<TimeSteps>

Number of timesteps to use in the computation