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seen Jul 20 '12 at 7:18

Jun
7
comment Increasing recursion speed in Hull-White trinomial tree calculation
NSolve may be more than I needed.So I've removed NSolve from the code, and replaced it with FindRoot and set the starting point each time as the previous alpha. This greatly speeds things up and lets me get more steps however I hit a wall around the 100 step mark (I get a recursion limit)
Jun
7
comment Increasing recursion speed in Hull-White trinomial tree calculation
Thanks R.M. That makes sense. Now that I've changed by definition of P[t] from an analytic formula to a data set, Solve and NSolve work at the same speed.
Jun
7
revised Increasing recursion speed in Hull-White trinomial tree calculation
edited body
Jun
7
revised Increasing recursion speed in Hull-White trinomial tree calculation
added 4925 characters in body; edited tags
Jun
6
comment Increasing recursion speed in Hull-White trinomial tree calculation
just edited a bug I missed. Also I have noticed that NSolve is quicker than Solve. Why woyuld this be so?
Jun
6
revised Increasing recursion speed in Hull-White trinomial tree calculation
added 9 characters in body
Jun
6
comment Increasing recursion speed in Hull-White trinomial tree calculation
ah! Didn't know of this. Will use that in my code going forward.
Jun
6
awarded  Student
Jun
6
comment Increasing recursion speed in Hull-White trinomial tree calculation
Yes, I realised that it's bad practice to use capital letters so I wanted to Unprotect to be safe. This is to match the notation used in the paper as clsoe as possible.
Jun
6
revised Increasing recursion speed in Hull-White trinomial tree calculation
deleted 287 characters in body
Jun
6
awarded  Editor
Jun
6
comment Increasing recursion speed in Hull-White trinomial tree calculation
Thanks Mr.Wizard for sending it over. Much appreciated. I've included the rest of my code as suggested.
Jun
6
revised Increasing recursion speed in Hull-White trinomial tree calculation
added 1862 characters in body; edited tags; edited title
Jun
6
asked Increasing recursion speed in Hull-White trinomial tree calculation