OneAssetOptionEngineFDVanillaEngine

Hierarchy

OneAssetOptionEngineFDVanillaEngine
- FDEuropeanEngine

Implements

Index

Properties

Methods

calculate

Properties

_BCs

_BCs: bc_type[]

_arguments

_arguments: Arguments = new OneAssetOption.Arguments()

_center

_center: Real

_exerciseDate

_exerciseDate: Date

_finiteDifferenceOperator

_finiteDifferenceOperator: TridiagonalOperator

_gridPoints

_gridPoints: Size

_intrinsicValues

_intrinsicValues: SampledCurve

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_payoff

_payoff: Payoff

_process

_process: GeneralizedBlackScholesProcess

_results

_results: Results = new OneAssetOption.Results()

_sMax

_sMax: Real

_sMin

_sMin: Real

_timeDependent

_timeDependent: boolean

_timeSteps

_timeSteps: Size

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

ensureStrikeInGrid

ensureStrikeInGrid: () => void

Type declaration

- (): void
- Returns void

getArguments

getArguments: () => Arguments

Type declaration

- (): Arguments
- Returns Arguments

getResidualTime

getResidualTime: () => Time

Type declaration

- (): Time
- Returns Time

getResults

getResults: () => Results

Type declaration

- (): Results
- Returns Results

grid

grid: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

init

init: (process: GeneralizedBlackScholesProcess, timeSteps: Size, gridPoints: Size, timeDependent?: boolean) => FDVanillaEngine

Type declaration

- (process: GeneralizedBlackScholesProcess, timeSteps: Size, gridPoints: Size, timeDependent?: boolean): FDVanillaEngine
- Parameters
  - process: GeneralizedBlackScholesProcess
  - timeSteps: Size
  - gridPoints: Size
  - Optional timeDependent: boolean
  Returns FDVanillaEngine

initializeBoundaryConditions

initializeBoundaryConditions: () => void

Type declaration

- (): void
- Returns void

initializeInitialCondition

initializeInitialCondition: () => void

Type declaration

- (): void
- Returns void

initializeOperator

initializeOperator: () => void

Type declaration

- (): void
- Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

reset

reset: () => void

Type declaration

- (): void
- Returns void

safeGridPoints

safeGridPoints: (gridPoints: Size, residualTime: Time) => Size

Type declaration

- (gridPoints: Size, residualTime: Time): Size
- Parameters
  - gridPoints: Size
  - residualTime: Time
  Returns Size

setGridLimits1

setGridLimits1: () => void

Type declaration

- (): void
- Returns void

setGridLimits2

setGridLimits2: (center: Real, t: Time) => void

Type declaration

- (center: Real, t: Time): void
- Parameters
  - center: Real
  - t: Time
  Returns void

setupArguments

setupArguments: (a: Arguments) => void

Type declaration

- (a: Arguments): void
- Parameters
  - a: Arguments
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

update

update: () => void

Type declaration

- (): void
- Returns void

Static _safetyZoneFactor

_safetyZoneFactor: Real = 1.1

Methods

calculate

calculate(): void

- Defined in mixins/ql/pricingengines/oneassetoptionenginefdvanillaengine.ts:36
Returns void

Hierarchy

Implements

Index

Properties

Methods

Properties

_BCs

_arguments

_center

_exerciseDate

_finiteDifferenceOperator

_gridPoints

_intrinsicValues

_isDisposed

_observables

_observers

_payoff

_process

_results

_sMax

_sMin

_timeDependent

_timeSteps

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

ensureStrikeInGrid

Type declaration

Returns void

getArguments

Type declaration

Returns Arguments

getResidualTime

Type declaration

Returns Time

getResults

Type declaration

Returns Results

grid

Type declaration

Returns Real[]

init

Type declaration

Parameters

process: GeneralizedBlackScholesProcess

timeSteps: Size

gridPoints: Size

Optional timeDependent: boolean

Returns FDVanillaEngine

initializeBoundaryConditions

Type declaration

Returns void

initializeInitialCondition

Type declaration

Returns void

initializeOperator

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void