Mastering Python for Finance - Second Edition

A class for Greeks with the LR binomial tree

To illustrate the computation of Greeks with the LR tree, let's create a new class named BinomialLRWithGreeks that inherits the BinomialLROption class with our own implementation of the price method.

In the price method, we will start by calling the setup_parameters() method of the parent class to initialize all variables required by the LR tree. However, this time, we will also call the new_stock_price_tree() method, which is a new method that's used to create an extra layer of nodes around the original tree.

The begin_tree_traversal() method is called to perform the usual LR tree implementation in the parent class. The returned NumPy array object now contains information on the three ...