AnalyticTwoAssetBarrierEngine

Analytic engine for barrier option on two assets The formulas are taken from "Option pricing formulas", E.G. Haug, McGraw-Hill,

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

Hierarchy

engine
- AnalyticTwoAssetBarrierEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AnalyticTwoAssetBarrierEngine(process1: GeneralizedBlackScholesProcess, process2: GeneralizedBlackScholesProcess, rho: Handle<Quote>): AnalyticTwoAssetBarrierEngine

Overrides engine.constructor
- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:28
Parameters
- process1: GeneralizedBlackScholesProcess
- process2: GeneralizedBlackScholesProcess
- rho: Handle<Quote>
Returns AnalyticTwoAssetBarrierEngine

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process1

_process1: GeneralizedBlackScholesProcess

Private _process2

_process2: GeneralizedBlackScholesProcess

_results

_results: Results

Private _rho

_rho: Handle<Quote>

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

A

A(eta: Real, phi: Real): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:252
Parameters
- eta: Real
- phi: Real
Returns Real

B

B(eta: Real, phi: Real): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:294
Parameters
- eta: Real
- phi: Real
Returns Real

M

M(m_a: Real, m_b: Real, rho: Real): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:299
Parameters
- m_a: Real
- m_b: Real
- rho: Real
Returns Real

barrier

barrier(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:144
Returns Real

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:41
Returns void

call

call(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:237
Returns Real

costOfCarry1

costOfCarry1(): Rate

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:176
Returns Rate

costOfCarry2

costOfCarry2(): Rate

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:180
Returns Rate

d1

d1(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:188
Returns Real

d2

d2(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:196
Returns Real

d3

d3(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:200
Returns Real

d4

d4(): Real

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

dividendYield1

dividendYield1(): Rate

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:160
Returns Rate

dividendYield2

dividendYield2(): Rate

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:168
Returns Rate

e1

e1(): Real

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

e2

e2(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:220
Returns Real

e3

e3(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:225
Returns Real

e4

e4(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:231
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(b: Real, vol: Real): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:184
Parameters
- b: Real
- vol: Real
Returns Real

put

put(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:244
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/analytictwoassetbarrierengine.ts:130
Returns Time

rho

rho(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:148
Returns Real

riskFreeRate

riskFreeRate(): Rate

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:152
Returns Rate

strike

strike(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:118
Returns Real

triggered

triggered(underlying: Real): boolean

Inherited from engine.triggered
- Defined in ql/experimental/exoticoptions/twoassetbarrieroption.ts:88
Parameters
- underlying: Real
Returns boolean

underlying1

underlying1(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:110
Returns Real

underlying2

underlying2(): Real

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:114
Returns Real

update

update(): void

Inherited from GenericEngine.update

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

volatility1

volatility1(): Volatility

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:134
Returns Volatility

volatility2

volatility2(): Volatility

- Defined in ql/experimental/exoticoptions/analytictwoassetbarrierengine.ts:139
Returns Volatility

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

process1: GeneralizedBlackScholesProcess

process2: GeneralizedBlackScholesProcess

rho: Handle<Quote>

Returns AnalyticTwoAssetBarrierEngine

Properties

_arguments

_isDisposed

_observables

_observers

Private _process1

Private _process2

_results

Private _rho

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

A

Parameters

eta: Real

phi: Real

Returns Real

B

Parameters

eta: Real

phi: Real

Returns Real

M

Parameters

m_a: Real

m_b: Real

rho: Real

Returns Real

barrier

Returns Real

calculate