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FFT engine for vanilla options under a Variance Gamma process

test

the correctness of the returned values is tested by comparison with known good values and the analytic approach

Hierarchy

Implements

Index

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _dividendDiscount

_dividendDiscount: DiscountFactor

_isDisposed

_isDisposed: boolean = false

Protected _lambda

_lambda: Real

Private _nu

_nu: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _process

_results

_results: Results

Private _riskFreeDiscount

_riskFreeDiscount: DiscountFactor

Private _sigma

_sigma: Real

Private _t

_t: Time

Private _theta

_theta: 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 calculateUncached

clone

  • Returns FFTEngine

Protected complexFourierTransform

Protected discountFactor

  • discountFactor(d: Date): Real
  • Parameters

    • d: Date

    Returns Real

Protected dividendYield

  • dividendYield(d: Date): Real
  • Parameters

    • d: Date

    Returns Real

getArguments

getResults

precalculate

Protected precalculateExpiry

  • precalculateExpiry(d: Date): void
  • Parameters

    • d: Date

    Returns void

reset

  • reset(): void

update

  • update(): void