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"ql/pricingengines/vanilla/batesengine"
BatesDoubleExpEngine
Class BatesDoubleExpEngine
Hierarchy
AnalyticHestonEngine
BatesDoubleExpEngine
BatesDoubleExpDetJumpEngine
Implements
Observable
Observer
PricingEngine
Index
Enumerations
Complex
Log
Formula
Classes
AP_
Helper
Fj_
Helper
Integration
Constructors
constructor
Properties
_arguments
_is
Disposed
_model
_observables
_observers
_results
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
Methods
add
OnTerm
ahe
Init1
ahe
Init2
ahe
Init3
bdee
Init1
bdee
Init2
calculate
chF
get
Arguments
get
Results
init1
init2
ln
ChF
number
OfEvaluations
reset
update
do
Calculation
Constructors
constructor
new
Bates
Double
Exp
Engine
(
)
:
BatesDoubleExpEngine
Returns
BatesDoubleExpEngine
Properties
_arguments
_arguments
:
Arguments
_is
Disposed
_is
Disposed
:
boolean
= false
_model
_model
:
Handle
<
HestonModel
>
_observables
_observables
:
Set
<
Observable
>
= new Set()
_observers
_observers
:
Set
<
Observer
>
= new Set()
_results
_results
:
Results
deep
Update
deep
Update
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
dispose
dispose
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
is
Disposed
is
Disposed
:
boolean
notify
Observers
notify
Observers
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
register
Observer
register
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
register
With
register
With
:
(
h
:
Observable
)
=>
void
Type declaration
(
h
:
Observable
)
:
void
Parameters
h:
Observable
Returns
void
register
With
Observables
register
With
Observables
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
Observer
unregister
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
With
unregister
With
:
(
h
:
Observable
)
=>
Size
Type declaration
(
h
:
Observable
)
:
Size
Parameters
h:
Observable
Returns
Size
unregister
With
All
unregister
With
All
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
Methods
add
OnTerm
add
OnTerm
(
phi
:
Real
, t
:
Time
, j
:
Size
)
:
Complex
Parameters
phi:
Real
t:
Time
j:
Size
Returns
Complex
ahe
Init1
ahe
Init1
(
model
:
HestonModel
, relTolerance
:
Real
, maxEvaluations
:
Size
)
:
AnalyticHestonEngine
Parameters
model:
HestonModel
relTolerance:
Real
maxEvaluations:
Size
Returns
AnalyticHestonEngine
ahe
Init2
ahe
Init2
(
model
:
HestonModel
, integrationOrder
?:
Size
)
:
AnalyticHestonEngine
Parameters
model:
HestonModel
Default value
integrationOrder:
Size
= 144
Returns
AnalyticHestonEngine
ahe
Init3
ahe
Init3
(
model
:
HestonModel
, cpxLog
:
ComplexLogFormula
, integration
:
Integration
, andersenPiterbargEpsilon
?:
Real
)
:
AnalyticHestonEngine
Parameters
model:
HestonModel
cpxLog:
ComplexLogFormula
integration:
Integration
Default value
andersenPiterbargEpsilon:
Real
= 1e-8
Returns
AnalyticHestonEngine
bdee
Init1
bdee
Init1
(
model
:
BatesDoubleExpModel
, integrationOrder
?:
Size
)
:
BatesDoubleExpEngine
Parameters
model:
BatesDoubleExpModel
Default value
integrationOrder:
Size
= 144
Returns
BatesDoubleExpEngine
bdee
Init2
bdee
Init2
(
model
:
BatesDoubleExpModel
, relTolerance
:
Real
, maxEvaluations
:
Size
)
:
BatesDoubleExpEngine
Parameters
model:
BatesDoubleExpModel
relTolerance:
Real
maxEvaluations:
Size
Returns
BatesDoubleExpEngine
calculate
calculate
(
)
:
void
Returns
void
chF
chF
(
z
:
Complex
, T
:
Time
)
:
Complex
Parameters
z:
Complex
T:
Time
Returns
Complex
get
Arguments
get
Arguments
(
)
:
Arguments
Returns
Arguments
get
Results
get
Results
(
)
:
Results
Returns
Results
init1
init1
(
model
?:
Handle
<
HestonModel
>
)
:
GenericModelEngine
<
HestonModel
,
Arguments
,
Results
>
Parameters
Default value
model:
Handle
<
HestonModel
>
= new Handle()
Returns
GenericModelEngine
<
HestonModel
,
Arguments
,
Results
>
init2
init2
(
model
:
HestonModel
)
:
GenericModelEngine
<
HestonModel
,
Arguments
,
Results
>
Parameters
model:
HestonModel
Returns
GenericModelEngine
<
HestonModel
,
Arguments
,
Results
>
ln
ChF
ln
ChF
(
z
:
Complex
, t
:
Time
)
:
Complex
Parameters
z:
Complex
t:
Time
Returns
Complex
number
OfEvaluations
number
OfEvaluations
(
)
:
Size
Returns
Size
reset
reset
(
)
:
void
Returns
void
update
update
(
)
:
void
Returns
void
Static
do
Calculation
do
Calculation
(
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
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
Globals
"ql/pricingengines/vanilla/batesengine"
Bates
Det
Jump
Engine
Bates
Double
Exp
Det
Jump
Engine
Bates
Double
Exp
Engine
Complex
Log
Formula
AP_
Helper
Fj_
Helper
Integration
constructor
_arguments
_is
Disposed
_model
_observables
_observers
_results
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
add
OnTerm
ahe
Init1
ahe
Init2
ahe
Init3
bdee
Init1
bdee
Init2
calculate
chF
get
Arguments
get
Results
init1
init2
ln
ChF
number
OfEvaluations
reset
update
do
Calculation
Bates
Engine