Class AnalyticDoubleBarrierBinaryEngine_helper

Hierarchy

AnalyticDoubleBarrierBinaryEngine_helper

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AnalyticDoubleBarrierBinaryEngine_helper(process: GeneralizedBlackScholesProcess, payoff: CashOrNothingPayoff, args: Arguments): AnalyticDoubleBarrierBinaryEngine_helper

- Defined in ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.ts:199
Parameters
- process: GeneralizedBlackScholesProcess
- payoff: CashOrNothingPayoff
- args: Arguments
Returns AnalyticDoubleBarrierBinaryEngine_helper

Properties

Private _arguments

_arguments: Arguments

Private _payoff

_payoff: CashOrNothingPayoff

Private _process

_process: GeneralizedBlackScholesProcess

Methods

payoffAtExpiry

payoffAtExpiry(spot: Real, variance: Real, barrierType: Type, maxIteration?: Size, requiredConvergence?: Real): Real

- Defined in ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.ts:208
Parameters
- spot: Real
- variance: Real
- barrierType: Type
- Default value maxIteration: Size = 100
- Default value requiredConvergence: Real = 1e-8
Returns Real

payoffKIKO

payoffKIKO(spot: Real, variance: Real, barrierType: Type, maxIteration?: Size, requiredConvergence?: Real): Real

- Defined in ql/experimental/barrieroption/analyticdoublebarrierbinaryengine.ts:286
Parameters
- spot: Real
- variance: Real
- barrierType: Type
- Default value maxIteration: Size = 100
- Default value requiredConvergence: Real = 1e-8
Returns Real