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Class QuantoEngine

Quanto engine

warning for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)

test

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

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • new QuantoEngine(Arguments: any, Results: any, Engine: any): QuantoEngine

  • Parameters

    • Arguments: any
    • Results: any
    • Engine: any

    Returns QuantoEngine

Properties

Engine

Engine: any

_arguments

_arguments: Arguments

Protected _correlation

_correlation: Handle<Quote>

Protected _exchangeRateVolatility

_exchangeRateVolatility: Handle<BlackVolTermStructure>

Protected _foreignRiskFreeRate

_foreignRiskFreeRate: Handle<YieldTermStructure>

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _process

_process: GeneralizedBlackScholesProcess

_results

_results: QuantoOptionResults

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

qeInit

reset

  • reset(): void

update

  • update(): void