Options
All
  • Public
  • Public/Protected
  • All
Menu

Pricing engine for European discrete geometric average price Asian

This class implements a discrete geometric average price Asian option, with European exercise. The formula is from "Asian Option", E. Levy (1997) in "Exotic Options: The State of the Art", edited by L. Clewlow, C. Strickland, pag 65-97

todo implement correct theta, rho, and dividend-rho calculation

test

  • the correctness of the returned value is tested by reproducing results available in literature.
  • the correctness of the available greeks is tested against numerical calculations.

Hierarchy

  • engine
    • AnalyticDiscreteGeometricAveragePriceAsianEngine

Implements

Index

Constructors

constructor

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_results

_results: Results

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

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

calculate

  • calculate(): void

getArguments

  • getArguments(): Arguments

getResults

  • getResults(): Results

reset

  • reset(): void

update

  • update(): void