Class AnalyticBinaryBarrierEngine_helper

Hierarchy

AnalyticBinaryBarrierEngine_helper

Index

Constructors

constructor

Properties

Methods

payoffAtExpiry

Constructors

constructor

new AnalyticBinaryBarrierEngine_helper(process: GeneralizedBlackScholesProcess, payoff: StrikedTypePayoff, exercise: AmericanExercise, args: Arguments): AnalyticBinaryBarrierEngine_helper

- Defined in ql/pricingengines/barrier/analyticbinarybarrierengine.ts:127
Parameters
- process: GeneralizedBlackScholesProcess
- payoff: StrikedTypePayoff
- exercise: AmericanExercise
- args: Arguments
Returns AnalyticBinaryBarrierEngine_helper

Properties

Private _arguments

_arguments: Arguments

Private _exercise

_exercise: AmericanExercise

Private _payoff

_payoff: StrikedTypePayoff

Private _process

_process: GeneralizedBlackScholesProcess

Methods

payoffAtExpiry

payoffAtExpiry(spot: Real, variance: Real, discount: Real): Real

- Defined in ql/pricingengines/barrier/analyticbinarybarrierengine.ts:137
Parameters
- spot: Real
- variance: Real
- discount: Real
Returns Real