Class BatesDetJumpEngine

Hierarchy

BatesEngine
- BatesDetJumpEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new BatesDetJumpEngine(): BatesDetJumpEngine

Inherited from AnalyticHestonEngine.constructor
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:70
Returns BatesDetJumpEngine

Properties

_arguments

_arguments: Arguments

_isDisposed

_isDisposed: boolean = false

_model

_model: Handle<HestonModel>

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_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

- (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

addOnTerm

addOnTerm(phi: Real, t: Time, j: Size): Complex

Overrides BatesEngine.addOnTerm
- Defined in ql/pricingengines/vanilla/batesengine.ts:131
Parameters
- phi: Real
- t: Time
- j: Size
Returns Complex

aheInit1

aheInit1(model: HestonModel, relTolerance: Real, maxEvaluations: Size): AnalyticHestonEngine

Inherited from AnalyticHestonEngine.aheInit1
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:79
Parameters
- model: HestonModel
- relTolerance: Real
- maxEvaluations: Size
Returns AnalyticHestonEngine

aheInit2

aheInit2(model: HestonModel, integrationOrder?: Size): AnalyticHestonEngine

Inherited from AnalyticHestonEngine.aheInit2
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:92
Parameters
- model: HestonModel
- Default value integrationOrder: Size = 144
Returns AnalyticHestonEngine

aheInit3

aheInit3(model: HestonModel, cpxLog: ComplexLogFormula, integration: Integration, andersenPiterbargEpsilon?: Real): AnalyticHestonEngine

Inherited from AnalyticHestonEngine.aheInit3
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:105
Parameters
- model: HestonModel
- cpxLog: ComplexLogFormula
- integration: Integration
- Default value andersenPiterbargEpsilon: Real = 1e-8
Returns AnalyticHestonEngine

bdjeInit1

bdjeInit1(model: BatesDetJumpModel, integrationOrder?: Size): BatesDetJumpEngine

- Defined in ql/pricingengines/vanilla/batesengine.ts:118
Parameters
- model: BatesDetJumpModel
- Default value integrationOrder: Size = 144
Returns BatesDetJumpEngine

bdjeInit2

bdjeInit2(model: BatesDetJumpModel, relTolerance: Real, maxEvaluations: Size): BatesDetJumpEngine

- Defined in ql/pricingengines/vanilla/batesengine.ts:125
Parameters
- model: BatesDetJumpModel
- relTolerance: Real
- maxEvaluations: Size
Returns BatesDetJumpEngine

beInit1

beInit1(model: BatesModel, integrationOrder?: Size): BatesEngine

Inherited from BatesEngine.beInit1
- Defined in ql/pricingengines/vanilla/batesengine.ts:84
Parameters
- model: BatesModel
- Default value integrationOrder: Size = 144
Returns BatesEngine

beInit2

beInit2(model: BatesModel, relTolerance: Real, maxEvaluations: Size): BatesEngine

Inherited from BatesEngine.beInit2
- Defined in ql/pricingengines/vanilla/batesengine.ts:90
Parameters
- model: BatesModel
- relTolerance: Real
- maxEvaluations: Size
Returns BatesEngine

calculate

calculate(): void

Inherited from AnalyticHestonEngine.calculate

Overrides PricingEngineObserver.calculate
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:170
Returns void

chF

chF(z: Complex, T: Time): Complex

Inherited from AnalyticHestonEngine.chF
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:124
Parameters
- z: Complex
- T: Time
Returns Complex

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

init1

init1(model?: Handle<HestonModel>): GenericModelEngine<HestonModel, Arguments, Results>

Inherited from GenericModelEngine.init1
- Defined in ql/pricingengines/genericmodelengine.ts:20
Parameters
- Default value model: Handle<HestonModel> = new Handle()
Returns GenericModelEngine<HestonModel, Arguments, Results>

init2

init2(model: HestonModel): GenericModelEngine<HestonModel, Arguments, Results>

Inherited from GenericModelEngine.init2
- Defined in ql/pricingengines/genericmodelengine.ts:28
Parameters
- model: HestonModel
Returns GenericModelEngine<HestonModel, Arguments, Results>

lnChF

lnChF(z: Complex, t: Time): Complex

Inherited from AnalyticHestonEngine.lnChF
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:128
Parameters
- z: Complex
- t: Time
Returns Complex

numberOfEvaluations

numberOfEvaluations(): Size

Inherited from AnalyticHestonEngine.numberOfEvaluations
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:214
Returns Size

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

Static doCalculation

doCalculation(riskFreeDiscount: Real, dividendDiscount: Real, spotPrice: Real, strikePrice: Real, term: Real, kappa: Real, theta: Real, sigma: Real, v0: Real, rho: Real, type: TypePayoff, integration: Integration, cpxLog: ComplexLogFormula, enginePtr: AnalyticHestonEngine, ref: byRef): void

Inherited from AnalyticHestonEngine.doCalculation
- Defined in ql/pricingengines/vanilla/analytichestonengine.ts:218
Parameters
- riskFreeDiscount: Real
- dividendDiscount: Real
- spotPrice: Real
- strikePrice: Real
- term: Real
- kappa: Real
- theta: Real
- sigma: Real
- v0: Real
- rho: Real
- type: TypePayoff
- integration: Integration
- cpxLog: ComplexLogFormula
- enginePtr: AnalyticHestonEngine
- ref: byRef
Returns void