UpperBoundEngine | quantlib.js

Market-model engine for upper-bound estimation

product and hedge must have the same rate times and exercise times

Hierarchy

UpperBoundEngine

Index

Constructors

constructor

new UpperBoundEngine(evolver: MarketModelEvolver, innerEvolvers: MarketModelEvolver[], underlying: MarketModelMultiProduct, rebate: MarketModelExerciseValue, hedge: MarketModelMultiProduct, hedgeRebate: MarketModelExerciseValue, hedgeStrategy: ExerciseStrategy, initialNumeraireValue: Real): UpperBoundEngine

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:30
Parameters
- evolver: MarketModelEvolver
- innerEvolvers: MarketModelEvolver[]
- underlying: MarketModelMultiProduct
- rebate: MarketModelExerciseValue
- hedge: MarketModelMultiProduct
- hedgeRebate: MarketModelExerciseValue
- hedgeStrategy: ExerciseStrategy
- initialNumeraireValue: Real
Returns UpperBoundEngine

Properties

Private _cashFlowsGenerated

_cashFlowsGenerated: CashFlow[][]

Private _hedgeOffset

_hedgeOffset: Size

Private _hedgeRebateOffset

_hedgeRebateOffset: Size

Private _hedgeRebateSize

_hedgeRebateSize: Size

Private _hedgeSize

_hedgeSize: Size

Private _initialNumeraireValue

_initialNumeraireValue: Real

Private _innerEvolvers

_innerEvolvers: MarketModelEvolver[]

Private _isExerciseTime

_isExerciseTime: boolean[]

Private _numberCashFlowsThisStep

_numberCashFlowsThisStep: Size[]

Private _numberOfProducts

_numberOfProducts: Size

Private _numberOfSteps

_numberOfSteps: Size

Private _rebateOffset

_rebateOffset: Size

Private _rebateSize

_rebateSize: Size

Private _underlyingOffset

_underlyingOffset: Size

Private _underlyingSize

_underlyingSize: Size

Methods

Private collectCashFlows

collectCashFlows(currentStep: Size, principalInNumerairePortfolio: Real, beginProduct: Size, endProduct: Size): Real

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:218
Parameters
- currentStep: Size
- principalInNumerairePortfolio: Real
- beginProduct: Size
- endProduct: Size
Returns Real

multiplePathValues

multiplePathValues(stats: Statistics, outerPaths: Size, innerPaths: Size): void

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:86
Parameters
- stats: Statistics
- outerPaths: Size
- innerPaths: Size
Returns void

singlePathValue

singlePathValue(innerPaths: Size): [Real, Real]

- Defined in ql/models/marketmodels/callability/upperboundengine.ts:94
Parameters
- innerPaths: Size
Returns [Real, Real]

Hierarchy

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

evolver: MarketModelEvolver

innerEvolvers: MarketModelEvolver[]

underlying: MarketModelMultiProduct

rebate: MarketModelExerciseValue

hedge: MarketModelMultiProduct

hedgeRebate: MarketModelExerciseValue

hedgeStrategy: ExerciseStrategy

initialNumeraireValue: Real

Returns UpperBoundEngine

Properties

Private _cashFlowsGenerated

Private _composite

Private _discounters

Private _evolver

Private _hedgeOffset

Private _hedgeRebateOffset

Private _hedgeRebateSize

Private _hedgeSize

Private _initialNumeraireValue

Private _innerEvolvers

Private _isExerciseTime

Private _numberCashFlowsThisStep

Private _numberOfProducts

Private _numberOfSteps

Private _rebateOffset

Private _rebateSize

Private _underlyingOffset

Private _underlyingSize

Methods

Private collectCashFlows

Parameters

currentStep: Size

principalInNumerairePortfolio: Real

beginProduct: Size

endProduct: Size

Returns Real

multiplePathValues

Parameters

stats: Statistics

outerPaths: Size

innerPaths: Size

Returns void

singlePathValue

Parameters

innerPaths: Size

Returns [Real, Real]