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Discrete-averaging Asian option

Hierarchy

Implements

Index

Constructors

constructor

Properties

Protected _NPV

_NPV: Real

Protected _additionalResults

_additionalResults: Map<string, any> = new Map<string, any>()

_alwaysForward

_alwaysForward: boolean = false

Protected _averageType

_averageType: Type

_calculated

_calculated: boolean = false

Protected _delta

_delta: Real

Protected _deltaForward

_deltaForward: Real

Protected _dividendRho

_dividendRho: Real

Protected _elasticity

_elasticity: Real

_engine

_engine: PricingEngine

Protected _errorEstimate

_errorEstimate: Real

Protected _exercise

_exercise: Exercise

Protected _fixingDates

_fixingDates: Date[]

_frozen

_frozen: boolean = false

Protected _gamma

_gamma: Real

_isDisposed

_isDisposed: boolean = false

Protected _itmCashProbability

_itmCashProbability: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _pastFixings

_pastFixings: Size

Protected _payoff

_payoff: Payoff

Protected _rho

_rho: Real

Protected _runningAccumulator

_runningAccumulator: Real

Protected _strikeSensitivity

_strikeSensitivity: Real

Protected _theta

_theta: Real

Protected _thetaPerDay

_thetaPerDay: Real

Protected _valuationDate

_valuationDate: Date

Protected _vega

_vega: Real

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

NPV

  • returns the net present value of the instrument.

    Returns Real

additionalResults

  • additionalResults(): Map<string, any>
  • returns all additional result returned by the pricing engine.

    Returns Map<string, any>

alwaysForwardNotifications

  • alwaysForwardNotifications(): void
  • This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.

    warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.

    Returns void

calculate

  • calculate(): void

deepUpdate

  • deepUpdate(): void

delta

deltaForward

  • deltaForward(): Real

dividendRho

  • dividendRho(): Real

elasticity

  • elasticity(): Real

errorEstimate

  • errorEstimate(): Real
  • returns the error estimate on the NPV when available.

    Returns Real

exercise

fetchResults

freeze

  • freeze(): void
  • This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.

    Returns void

gamma

init

isExpired

  • isExpired(): boolean

itmCashProbability

  • itmCashProbability(): Real

oInit

payoff

performCalculations

  • performCalculations(): void

recalculate

  • recalculate(): void
  • This method force the recalculation of any results which would otherwise be cached. It is not declared as const since it needs to call the non-const notifyObservers method.

    note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.

    Returns void

result

  • result(tag: string): any
  • returns any additional result returned by the pricing engine.

    Parameters

    • tag: string

    Returns any

rho

setPricingEngine

  • set the pricing engine to be used.

    warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.

    Parameters

    Returns void

setupArguments

setupExpired

  • setupExpired(): void

strikeSensitivity

  • strikeSensitivity(): Real

theta

thetaPerDay

  • thetaPerDay(): Real

unfreeze

  • unfreeze(): void
  • This method reverts the effect of the freeze method, thus re-enabling recalculations.

    Returns void

update

  • update(): void

valuationDate

  • valuationDate(): Date
  • returns the date the net present value refers to.

    Returns Date

vega