Class Integrand

Hierarchy

Integrand

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

f

Constructors

constructor

new Integrand(payoff: StrikedTypePayoff, s0: Real, t: Real, riskFreeDiscount: Real, dividendDiscount: Real, sigma: Real, nu: Real, theta: Real): Integrand

- Defined in ql/experimental/variancegamma/analyticvariancegammaengine.ts:88
Parameters
- payoff: StrikedTypePayoff
- s0: Real
- t: Real
- riskFreeDiscount: Real
- dividendDiscount: Real
- sigma: Real
- nu: Real
- theta: Real
Returns Integrand

Properties

Private _dividendDiscount

_dividendDiscount: Real

Private _gammaDenom

_gammaDenom: Real

Private _nu

_nu: Real

Private _omega

_omega: Real

Private _payoff

_payoff: StrikedTypePayoff

Private _riskFreeDiscount

_riskFreeDiscount: Real

Private _s0

_s0: Real

Private _sigma

_sigma: Rate

Private _t

_t: Real

Private _theta

_theta: Real

Methods

f

f(x: Real): Real

- Defined in ql/experimental/variancegamma/analyticvariancegammaengine.ts:111
Parameters
- x: Real
Returns Real