AnalyticPartialTimeBarrierOptionEngine

Hierarchy

engine
- AnalyticPartialTimeBarrierOptionEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AnalyticPartialTimeBarrierOptionEngine(process: GeneralizedBlackScholesProcess): AnalyticPartialTimeBarrierOptionEngine

Overrides engine.__constructor
- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:20
Parameters
- process: GeneralizedBlackScholesProcess
Returns AnalyticPartialTimeBarrierOptionEngine

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

CA

CA(eta: Integer): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:367
Parameters
- eta: Integer
Returns Real

CIA

CIA(eta: Integer): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:385
Parameters
- eta: Integer
Returns Real

CoB1

CoB1(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:318
Returns Real

CoB2

CoB2(barrierType: Type): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:266
Parameters
- barrierType: Type
Returns Real

HS

HS(S: Real, H: Real, power: Real): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:429
Parameters
- S: Real
- H: Real
- power: Real
Returns Real

M

M(a: Real, b: Real, rho: Real): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:190
Parameters
- a: Real
- b: Real
- rho: Real
Returns Real

barrier

barrier(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:151
Returns Real

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:27
Returns void

coverEventTime

coverEventTime(): Time

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:142
Returns Time

d1

d1(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:197
Returns Real

d2

d2(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:206
Returns Real

dividendDiscount

dividendDiscount(): DiscountFactor

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:185
Returns DiscountFactor

dividendYield

dividendYield(): Rate

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:177
Returns Rate

e1

e1(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:212
Returns Real

e2

e2(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:221
Returns Real

e3

e3(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:227
Returns Real

e4

e4(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:235
Returns Real

f1

f1(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:240
Returns Real

f2

f2(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:251
Returns Real

g1

g1(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:400
Returns Real

g2

g2(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:409
Returns Real

g3

g3(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:415
Returns Real

g4

g4(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:423
Returns Real

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

mu

mu(): Rate

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:260
Returns Rate

rebate

rebate(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:155
Returns Real

reset

reset(): void

Inherited from GenericEngine.reset

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

residualTime

residualTime(): Time

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:138
Returns Time

rho

rho(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:256
Returns Real

riskFreeDiscount

riskFreeDiscount(): DiscountFactor

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:172
Returns DiscountFactor

riskFreeRate

riskFreeRate(): Rate

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:164
Returns Rate

stdDeviation

stdDeviation(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:159
Returns Real

strike

strike(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:126
Returns Real

underlying

underlying(): Real

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:122
Returns Real

update

update(): void

Inherited from GenericEngine.update

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

volatility

volatility(t: Time): Volatility

- Defined in ql/experimental/exoticoptions/analyticpartialtimebarrieroptionengine.ts:146
Parameters
- t: Time
Returns Volatility

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

process: GeneralizedBlackScholesProcess

Returns AnalyticPartialTimeBarrierOptionEngine

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

CA

Parameters

eta: Integer

Returns Real

CIA

Parameters

eta: Integer

Returns Real

CoB1

Returns Real

CoB2

Parameters

barrierType: Type

Returns Real

HS

Parameters

S: Real

H: Real

power: Real

Returns Real

M

Parameters

a: Real