Class AmericanCondition

American exercise condition.

todo: unify the intrinsicValues/Payoff thing

Hierarchy

CurveDependentStepCondition
- AmericanCondition

Index

Classes

Properties

_curveItem

Methods

Properties

Protected _curveItem

_curveItem: CurveWrapper

Methods

acInit1

acInit1(type: Type, strike: Real): AmericanCondition

- Defined in ql/methods/finitedifferences/americancondition.ts:17
Parameters
- type: Type
- strike: Real
Returns AmericanCondition

acInit2

acInit2(intrinsicValues: Real[]): AmericanCondition

- Defined in ql/methods/finitedifferences/americancondition.ts:23
Parameters
- intrinsicValues: Real[]
Returns AmericanCondition

applyTo

applyTo(a: Real[], t: Time): void

Inherited from CurveDependentStepCondition.applyTo

Overrides StepCondition.applyTo
- Defined in ql/methods/finitedifferences/stepcondition.ts:44
Parameters
- a: Real[]
- t: Time
Returns void

applyToValue

applyToValue(current: Real, intrinsic: Real): Real

Overrides CurveDependentStepCondition.applyToValue
- Defined in ql/methods/finitedifferences/americancondition.ts:28
Parameters
- current: Real
- intrinsic: Real
Returns Real

getValue

getValue(a: Real[], index: Size): Real

Inherited from CurveDependentStepCondition.getValue
- Defined in ql/methods/finitedifferences/stepcondition.ts:51
Parameters
- a: Real[]
- index: Size
Returns Real

init1

init1(type: Type, strike: Real): CurveDependentStepCondition

Inherited from CurveDependentStepCondition.init1
- Defined in ql/methods/finitedifferences/stepcondition.ts:26
Parameters
- type: Type
- strike: Real
Returns CurveDependentStepCondition

init2

init2(p: Payoff): CurveDependentStepCondition

Inherited from CurveDependentStepCondition.init2
- Defined in ql/methods/finitedifferences/stepcondition.ts:33
Parameters
- p: Payoff
Returns CurveDependentStepCondition

init3

init3(a: Real[]): CurveDependentStepCondition

Inherited from CurveDependentStepCondition.init3
- Defined in ql/methods/finitedifferences/stepcondition.ts:39
Parameters
- a: Real[]
Returns CurveDependentStepCondition