Fd2dBlackScholesVanillaEngine

Two dimensional finite-differences Black Scholes vanilla option engine

test: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Kirk approximation.

Hierarchy

engine
- Fd2dBlackScholesVanillaEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new Fd2dBlackScholesVanillaEngine(p1: GeneralizedBlackScholesProcess, p2: GeneralizedBlackScholesProcess, correlation: Real, xGrid?: Size, yGrid?: Size, tGrid?: Size, dampingSteps?: Size, schemeDesc?: FdmSchemeDesc, localVol?: boolean, illegalLocalVolOverwrite?: Real): Fd2dBlackScholesVanillaEngine

Overrides engine.__constructor
- Defined in ql/pricingengines/basket/fd2dblackscholesvanillaengine.ts:28
Parameters
- p1: GeneralizedBlackScholesProcess
- p2: GeneralizedBlackScholesProcess
- correlation: Real
- Default value xGrid: Size = 100
- Default value yGrid: Size = 100
- Default value tGrid: Size = 50
- Default value dampingSteps: Size = 0
- Default value schemeDesc: FdmSchemeDesc = FdmSchemeDesc.Hundsdorfer()
- Default value localVol: boolean = false
- Default value illegalLocalVolOverwrite: Real = -QL_NULL_REAL
Returns Fd2dBlackScholesVanillaEngine

Properties

_arguments

_arguments: Arguments

Private _correlation

_correlation: Real

Private _dampingSteps

_dampingSteps: Size

Private _illegalLocalVolOverwrite

_illegalLocalVolOverwrite: Real

_isDisposed

_isDisposed: boolean = false

Private _localVol

_localVol: boolean

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _p1

_p1: GeneralizedBlackScholesProcess

Private _p2

_p2: GeneralizedBlackScholesProcess

_results

_results: Results

Private _schemeDesc

_schemeDesc: FdmSchemeDesc

Private _tGrid

_tGrid: Size

Private _xGrid

_xGrid: Size

Private _yGrid

_yGrid: 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

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

calculate

calculate(): void

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/basket/fd2dblackscholesvanillaengine.ts:51
Returns void

getArguments

getArguments(): Arguments

Inherited from GenericEngine.getArguments

Overrides PricingEngineObserver.getArguments
- Defined in ql/genericengine.ts:17
Returns Arguments

getResults

getResults(): Results

Inherited from GenericEngine.getResults

Overrides PricingEngineObserver.getResults
- Defined in ql/genericengine.ts:21
Returns Results

reset

reset(): void

Inherited from GenericEngine.reset

Overrides PricingEngineObserver.reset
- Defined in ql/genericengine.ts:25
Returns void

update

update(): void

Inherited from GenericEngine.update

Overrides PricingEngineObserver.update
- Defined in ql/genericengine.ts:29
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

p1: GeneralizedBlackScholesProcess

p2: GeneralizedBlackScholesProcess

correlation: Real

Default value xGrid: Size = 100

Default value yGrid: Size = 100

Default value tGrid: Size = 50

Default value dampingSteps: Size = 0

Default value schemeDesc: FdmSchemeDesc = FdmSchemeDesc.Hundsdorfer()

Default value localVol: boolean = false

Default value illegalLocalVolOverwrite: Real = -QL_NULL_REAL

Returns Fd2dBlackScholesVanillaEngine

Properties

_arguments

Private _correlation

Private _dampingSteps

Private _illegalLocalVolOverwrite

_isDisposed

Private _localVol

_observables

_observers

Private _p1

Private _p2

_results

Private _schemeDesc

Private _tGrid

Private _xGrid

Private _yGrid

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

isDisposed

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void

unregisterObserver

Type declaration

Parameters

o: Observer

Returns void

unregisterWith

Type declaration

Parameters

h: Observable

Returns Size

unregisterWithAll

Type declaration

Returns void

Methods

calculate

Returns void

getArguments

Returns Arguments

getResults