AnalyticHolderExtensibleOptionEngine

Hierarchy

engine
- AnalyticHolderExtensibleOptionEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AnalyticHolderExtensibleOptionEngine(process: GeneralizedBlackScholesProcess): AnalyticHolderExtensibleOptionEngine

Overrides engine.__constructor
- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:18
Parameters
- process: GeneralizedBlackScholesProcess
Returns AnalyticHolderExtensibleOptionEngine

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

_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

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

I1Call

I1Call(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:152
Returns Real

I1Put

I1Put(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:222
Returns Real

I2Call

I2Call(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:184
Returns Real

I2Put

I2Put(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:253
Returns Real

M2

M2(a: Real, b: Real, c: Real, d: Real, rho: Real): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:311
Parameters
- a: Real
- b: Real
- c: Real
- d: Real
- rho: Real
Returns Real

N2

N2(a: Real, b: Real): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:319
Parameters
- a: Real
- b: Real
Returns Real

bsCalculator

bsCalculator(spot: Real, optionType: Type): BlackScholesCalculator

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:284
Parameters
- spot: Real
- optionType: Type
Returns BlackScholesCalculator

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:25
Returns void

dividendDiscount

dividendDiscount(t: Time): DiscountFactor

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:144
Parameters
- t: Time
Returns DiscountFactor

dividendYield

dividendYield(): Rate

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:135
Returns Rate

firstExpiryTime

firstExpiryTime(): Time

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:113
Returns Time

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

riskFreeDiscount

riskFreeDiscount(t: Time): DiscountFactor

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:148
Parameters
- t: Time
Returns DiscountFactor

riskFreeRate

riskFreeRate(): Rate

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:126
Returns Rate

secondExpiryTime

secondExpiryTime(): Time

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:117
Returns Time

strike

strike(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:101
Returns Real

update

update(): void

Inherited from GenericEngine.update

Overrides PricingEngineObserver.update
- Defined in ql/genericengine.ts:29
Returns void

volatility

volatility(): Volatility

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:121
Returns Volatility

y1

y1(type: Type): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:326
Parameters
- type: Type
Returns Real

y2

y2(type: Type): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:338
Parameters
- type: Type
Returns Real

z1

z1(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:350
Returns Real

z2

z2(): Real

- Defined in ql/experimental/exoticoptions/analyticholderextensibleoptionengine.ts:361
Returns Real

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

process: GeneralizedBlackScholesProcess

Returns AnalyticHolderExtensibleOptionEngine

Properties

_arguments

_isDisposed

_observables

_observers

Private _process

_results

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

I1Call

Returns Real

I1Put

Returns Real

I2Call

Returns Real

I2Put

Returns Real

M2

Parameters

a: Real

b: Real

c: Real

d: Real

rho: Real

Returns Real

N2

Parameters

a: Real

b: Real

Returns Real

bsCalculator

Parameters