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Class BinomialBarrierEngine

Pricing engine for barrier options using binomial trees

note Timesteps for Cox-Ross-Rubinstein trees are adjusted using Boyle and Lau algorithm. See Journal of Derivatives, 1/1994, "Bumping up against the barrier with the binomial method"

test the correctness of the returned values is tested by checking it against analytic european results.

Hierarchy

  • engine
    • BinomialBarrierEngine

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

D

D: DiscretizedAsset

T

T: TreeLatticeImpl

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

Private _maxTimeSteps

_maxTimeSteps: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_process: GeneralizedBlackScholesProcess

_results

_results: Results

Private _timeSteps

_timeSteps: Size

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

getResults

init

reset

  • reset(): void

triggered

  • triggered(underlying: Real): boolean

  • Parameters

    Returns boolean

update

  • update(): void