Class AmericanPayoffAtHit

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

Hierarchy

AmericanPayoffAtHit

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new AmericanPayoffAtHit(spot: Real, discount: DiscountFactor, dividendDiscount: DiscountFactor, variance: Real, payoff: StrikedTypePayoff): AmericanPayoffAtHit

- Defined in ql/pricingengines/americanpayoffathit.ts:15
Parameters
- spot: Real
- discount: DiscountFactor
- dividendDiscount: DiscountFactor
- variance: Real
- payoff: StrikedTypePayoff
Returns AmericanPayoffAtHit

Properties

Private _D1

_D1: Real

Private _D2

_D2: Real

_DKDstrike

_DKDstrike: Real

_DXDstrike

_DXDstrike: Real

Private _DalphaDd1

_DalphaDd1: Real

Private _DbetaDd2

_DbetaDd2: Real

Private _K

_K: Real

Private _X

_X: Real

Private _alpha

_alpha: Real

Private _beta

_beta: 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 _lambda

_lambda: Real

Private _log_H_S

_log_H_S: Real

Private _mu

_mu: Real

Private _muMinusLambda

_muMinusLambda: Real

Private _muPlusLambda

_muPlusLambda: Real

Private _spot

_spot: Real

Private _stdDev

_stdDev: Volatility

Private _strike

_strike: Real

Private _variance

_variance: Real

Methods

delta

delta(): Real

- Defined in ql/pricingengines/americanpayoffathit.ts:171
Returns Real

gamma

gamma(): Real

- Defined in ql/pricingengines/americanpayoffathit.ts:193
Returns Real

rho

rho(maturity: Time): Real

- Defined in ql/pricingengines/americanpayoffathit.ts:229
Parameters
- maturity: Time
Returns Real

value

value(): Real

- Defined in ql/pricingengines/americanpayoffathit.ts:167
Returns Real