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Class FDAmericanEngine

Finite-differences pricing engine for American one asset options

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

  • Parameters

    • Scheme: any

    Returns FDAmericanEngine

Properties

Scheme

Scheme: any

_arguments

_arguments: Arguments = new OneAssetOption.Arguments()

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_results

_results: Results = new OneAssetOption.Results()

base

base: any

calculate

calculate: () => void

Type declaration

    • (): void

    • Returns void

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

engine

engine: any

fdeaInit

fdeaInit: (process: GeneralizedBlackScholesProcess, timeSteps?: Size, gridPoints?: Size, timeDependent?: boolean) => FDEngineAdapter

Type declaration

getArguments

getArguments: () => Arguments

Type declaration

getResults

getResults: () => Results

Type declaration

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

reset

reset: () => void

Type declaration

    • (): void

    • Returns void

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

update

update: () => void

Type declaration

    • (): void

    • Returns void

Methods

fdInit