Options
All
  • Public
  • Public/Protected
  • All
Menu

Class AnalyticCompoundOptionEngine

Pricing engine for compound options using analytical formulae

The formulas are taken from "Foreign Exchange Risk", Uwe Wystup, Risk 2002, where closed form Greeks are available. (not available in Haug 2007). Value: Page 84, Greeks: Pages 94-95.

test

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

Hierarchy

  • engine
    • AnalyticCompoundOptionEngine

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

Private _N

_N: CumulativeNormalDistribution

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

Private _n

_n: NormalDistribution

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_process: GeneralizedBlackScholesProcess

_results

_results: Results

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

Private dMinus

  • Returns Real

Private dPlus

  • Returns Real

Private dPlusTau12

  • Parameters

    Returns Real

Private dividendDiscountDaughter

  • Returns DiscountFactor

Private dividendDiscountMother

  • Returns DiscountFactor

Private dividendDiscountMotherDaughter

  • Returns DiscountFactor

Private dividendRateDaughter

  • dividendRateDaughter(): Real

  • Returns Real

Private e

  • Parameters

    Returns Real

getArguments

  • getArguments(): Arguments

getResults

  • getResults(): Results

Private maturityDaughter

  • maturityDaughter(): Date

  • Returns Date

Private maturityMother

  • maturityMother(): Date

  • Returns Date

Private payoffDaughter

  • Returns PlainVanillaPayoff

Private payoffMother

  • Returns PlainVanillaPayoff

reset

  • reset(): void

Private residualTimeDaughter

  • residualTimeDaughter(): Time

  • Returns Time

Private residualTimeMother

  • residualTimeMother(): Time

  • Returns Time

Private residualTimeMotherDaughter

  • residualTimeMotherDaughter(): Time

  • Returns Time

Private riskFreeDiscountDaughter

  • Returns DiscountFactor

Private riskFreeDiscountMother

  • Returns DiscountFactor

Private riskFreeDiscountMotherDaughter

  • Returns DiscountFactor

Private riskFreeRateDaughter

  • riskFreeRateDaughter(): Real

  • Returns Real

Private spot

  • Returns Real

Private stdDeviationDaughter

  • stdDeviationDaughter(): Real

  • Returns Real

Private stdDeviationMother

  • stdDeviationMother(): Real

  • Returns Real

Private strikeDaughter

  • strikeDaughter(): Real

  • Returns Real

Private strikeMother

  • strikeMother(): Real

  • Returns Real

Private transformX

  • Parameters

    Returns Real

Private typeDaughter

  • typeDaughter(): Real

  • Returns Real

Private typeMother

  • typeMother(): Real

  • Returns Real

update

  • update(): void

Private volatilityDaughter

  • volatilityDaughter(): Real

  • Returns Real

Private volatilityMother

  • volatilityMother(): Real

  • Returns Real