I am studying trinomial trees and trying to implement them in Python to compare them to the monte carlo simulation. I searched 3-4 hours in the web; but can't find any implementation on binomial or trinomial trees online.

Very simple question by a beginner: is there any place to get more information on the implementation? Or atleast how to start?

  • 1
    $\begingroup$ I gave this answer a while back: quant.stackexchange.com/questions/33223/trinomial-tree-vba-code/… The code is in VBA and is very outdated and should be refactored but works just as well. You should be able to use it as a template for another language. $\endgroup$
    – amdopt
    Commented May 21, 2020 at 19:35
  • 3
    $\begingroup$ Brigo and Mercurio wrote a great book on interest rate modelling in 2006. It includes a chapter on the construction of trinomial trees for the Hull White model $\endgroup$
    – Kevin
    Commented May 21, 2020 at 20:01
  • $\begingroup$ You can check out FinancePy. The HW implementation is at github.com/domokane/FinancePy/blob/master/financepy/models/… $\endgroup$
    – Dom
    Commented Mar 22, 2021 at 14:20

1 Answer 1


I am also utilizing trinomial tress for a research project, implementing a GMDB rider, using a trinomial tree Hull-White model, however, with a slight modification in probabilities by using Eric Ulm's HJB equation.

Anyways, I am going to start using this James Ma's boyle trinomial as the base code.



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