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Class WulinYongDoubleBarrierEngine

Pricing engine for barrier options using analytical formulae

The formulas are taken from "Barrier Option Pricing", Wulin Suo, Yong Wang.

test

the correctness of the returned value is tested by reproducing results available in literature.

Hierarchy

  • engine
    • WulinYongDoubleBarrierEngine

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _f

_f: CumulativeNormalDistribution = new CumulativeNormalDistribution()

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_process: GeneralizedBlackScholesProcess

_results

_results: Results

Private _series

_series: Size

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

Private D

  • Parameters

    Returns Real

calculate

  • calculate(): void

Private dividendDiscount

  • Returns DiscountFactor

Private dividendYield

  • dividendYield(): Rate

  • Returns Rate

getArguments

getResults

init1

reset

  • reset(): void

Private residualTime

  • residualTime(): Time

  • Returns Time

Private riskFreeDiscount

  • Returns DiscountFactor

Private riskFreeRate

  • riskFreeRate(): Rate

  • Returns Rate

stdDeviation

  • stdDeviation(): Real

  • Returns Real

Private strike

  • Returns Real

Protected triggered

  • triggered(underlying: Real): boolean

  • Parameters

    Returns boolean

underlying

  • underlying(): Real

  • Returns Real

update

  • update(): void

Private volatility

  • Returns Volatility