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Class AnalyticContinuousFixedLookbackEngine

Pricing engine for European continuous fixed-strike lookback

Formula from "Option Pricing Formulas", E.G. Haug, McGraw-Hill, 1998, p.63-64

test

returned values are verified against results from literature

Hierarchy

  • engine
    • AnalyticContinuousFixedLookbackEngine

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Properties

_arguments

_arguments: Arguments

Private _f

_f: CumulativeNormalDistribution = new CumulativeNormalDistribution()

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Private _process

_process: GeneralizedBlackScholesProcess

_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

Private A

  • Parameters

    Returns Real

Private B

  • Parameters

    Returns Real

Private C

  • Parameters

    Returns Real

calculate

  • calculate(): void

Private dividendDiscount

  • Returns DiscountFactor

Private dividendYield

  • dividendYield(): Rate

  • Returns Rate

getArguments

getResults

Private minmax

  • Returns Real

reset

  • reset(): void

Private residualTime

  • residualTime(): Time

  • Returns Time

Private riskFreeDiscount

  • Returns DiscountFactor

Private riskFreeRate

  • riskFreeRate(): Real

  • Returns Real

Private stdDeviation

  • stdDeviation(): Real

  • Returns Real

Private strike

  • Returns Real

Private underlying

  • underlying(): Real

  • Returns Real

update

  • update(): void

Private volatility

  • Returns Volatility