Class AmericanPayoffAtExpiry

Analytic formula for American exercise payoff at-expiry options todo calculate greeks

Hierarchy

AmericanPayoffAtExpiry

Index

Constructors

constructor

Properties

Methods

value

Constructors

constructor

new AmericanPayoffAtExpiry(spot: Real, discount: DiscountFactor, dividendDiscount: DiscountFactor, variance: Real, payoff: StrikedTypePayoff, knock_in?: boolean): AmericanPayoffAtExpiry

- Defined in ql/pricingengines/americanpayoffatexpiry.ts:15
Parameters
- spot: Real
- discount: DiscountFactor
- dividendDiscount: DiscountFactor
- variance: Real
- payoff: StrikedTypePayoff
- Default value knock_in: boolean = true
Returns AmericanPayoffAtExpiry

Properties

Private _D1

_D1: Real

Private _D2

_D2: Real

Private _K

_K: Real

Private _X

_X: Real

Private _Y

_Y: Real

Private _cum_d1

_cum_d1: Real

Private _cum_d2

_cum_d2: Real

Private _discount

_discount: DiscountFactor

Private _dividendDiscount

_dividendDiscount: DiscountFactor

Private _forward

_forward: Real

Private _inTheMoney

_inTheMoney: boolean

Private _knock_in

_knock_in: boolean

Private _log_H_S

_log_H_S: Real

Private _mu

_mu: Real

_n_d1

_n_d1: Real

_n_d2

_n_d2: Real

Private _spot

_spot: Real

Private _stdDev

_stdDev: Volatility

Private _strike

_strike: Real

Private _variance

_variance: Real

Methods

value

value(): Real

- Defined in ql/pricingengines/americanpayoffatexpiry.ts:190
Returns Real