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Class ContinuousArithmeticAsianVecerEngine

Vecer engine for continuous-avaeraging Asian options See http://www.stat.columbia.edu/~vecer/asian-vecer.pdf

Hierarchy

  • engine
    • ContinuousArithmeticAsianVecerEngine

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _assetSteps

_assetSteps: Size

Private _currentAverage

_currentAverage: Handle<Quote>

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_process: GeneralizedBlackScholesProcess

_results

_results: Results

Private _startDate

_startDate: Date

Private _timeSteps

_timeSteps: Size

Private _z_max

_z_max: Real

Private _z_min

_z_min: Real

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

Protected cont_strategy

  • Parameters

    Returns Real

getArguments

  • getArguments(): Arguments

getResults

  • getResults(): Results

reset

  • reset(): void

update

  • update(): void