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Class VannaVolgaBarrierEngine

Vanna Volga barrier option engine

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _T

_T: Time

Private _adaptVanDelta

_adaptVanDelta: boolean

_arguments

_arguments: Arguments

Private _atmVol

_atmVol: Handle<DeltaVolQuote>

Private _bsPriceWithSmile

_bsPriceWithSmile: Real

Private _domesticTS

_domesticTS: Handle<YieldTermStructure>

Private _foreignTS

_foreignTS: Handle<YieldTermStructure>

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results

Private _spotFX

_spotFX: Handle<Quote>

Private _vol25Call

_vol25Call: Handle<DeltaVolQuote>

Private _vol25Put

_vol25Put: Handle<DeltaVolQuote>

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

calculate

  • calculate(): void

getArguments

getResults

reset

  • reset(): void

update

  • update(): void