Class ImpliedSpotHelper

Hierarchy

ImpliedSpotHelper

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new ImpliedSpotHelper(dividendDiscount: DiscountFactor, riskFreeDiscount: DiscountFactor, standardDeviation: Real, payoff: PlainVanillaPayoff, strike: Real): ImpliedSpotHelper

- Defined in ql/experimental/exoticoptions/analyticcompoundoptionengine.ts:318
Parameters
- dividendDiscount: DiscountFactor
- riskFreeDiscount: DiscountFactor
- standardDeviation: Real
- payoff: PlainVanillaPayoff
- strike: Real
Returns ImpliedSpotHelper

Properties

Private _dividendDiscount

_dividendDiscount: DiscountFactor

Private _payoff

_payoff: PlainVanillaPayoff

Private _riskFreeDiscount

_riskFreeDiscount: DiscountFactor

Private _standardDeviation

_standardDeviation: Real

Private _strike

_strike: Real

Methods

f

f(spot: Real): Real

- Defined in ql/experimental/exoticoptions/analyticcompoundoptionengine.ts:329
Parameters
- spot: Real
Returns Real