FDBermudanEngine | quantlib.js

Finite-differences Bermudan engine

Hierarchy

VanillaOptionEngineFDMultiPeriodEngine
- FDBermudanEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new FDBermudanEngine(Scheme: any): FDBermudanEngine

- Defined in ql/pricingengines/vanilla/fdbermudanengine.ts:13
Parameters
- Scheme: any
Returns FDBermudanEngine

Properties

Scheme

Scheme: any

_BCs

_BCs: bc_type[]

_arguments

_arguments: Arguments

_center

_center: Real

_events

_events: Event[]

_exerciseDate

_exerciseDate: Date

_finiteDifferenceOperator

_finiteDifferenceOperator: TridiagonalOperator

_gridPoints

_gridPoints: Size

_intrinsicValues

_intrinsicValues: SampledCurve

_isDisposed

_isDisposed: boolean = false

_model

_model: FiniteDifferenceModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_payoff

_payoff: Payoff

_prices

_prices: SampledCurve

_process

_process: GeneralizedBlackScholesProcess

_results

_results: Results

_sMax

_sMax: Real

_sMin

_sMin: Real

_stepCondition

_stepCondition: StandardStepCondition

_stoppingTimes

_stoppingTimes: Time[]

_timeDependent

_timeDependent: boolean

_timeStepPerPeriod

_timeStepPerPeriod: Size

_timeSteps

_timeSteps: Size

calculate2

calculate2: (r: Results) => void

Type declaration

- (r: Results): void
- Parameters
  - r: Results
  Returns void

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

ensureStrikeInGrid

ensureStrikeInGrid: () => void

Type declaration

- (): void
- Returns void

Protected extraTermInBermudan

extraTermInBermudan: Real

getArguments

getArguments: () => Arguments

Type declaration

- (): Arguments
- Returns Arguments

getDividendTime

getDividendTime: (i: Size) => Time

Type declaration

- (i: Size): Time
- Parameters
  - i: Size
  Returns Time

getResidualTime

getResidualTime: () => Time

Type declaration

- (): Time
- Returns Time

getResults

getResults: () => Results

Type declaration

- (): Results
- Returns Results

grid

grid: () => Real[]

Type declaration

- (): Real[]
- Returns Real[]

init

init: (process: GeneralizedBlackScholesProcess, timeSteps: Size, gridPoints: Size, timeDependent?: boolean) => FDVanillaEngine

Type declaration

- (process: GeneralizedBlackScholesProcess, timeSteps: Size, gridPoints: Size, timeDependent?: boolean): FDVanillaEngine
- Parameters
  - process: GeneralizedBlackScholesProcess
  - timeSteps: Size
  - gridPoints: Size
  - Optional timeDependent: boolean
  Returns FDVanillaEngine

initializeBoundaryConditions

initializeBoundaryConditions: () => void

Type declaration

- (): void
- Returns void

initializeInitialCondition

initializeInitialCondition: () => void

Type declaration

- (): void
- Returns void

initializeModel

initializeModel: () => void

Type declaration

- (): void
- Returns void

initializeOperator

initializeOperator: () => 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

reset

reset: () => void

Type declaration

- (): void
- Returns void

safeGridPoints

safeGridPoints: (gridPoints: Size, residualTime: Time) => Size

Type declaration

- (gridPoints: Size, residualTime: Time): Size
- Parameters
  - gridPoints: Size
  - residualTime: Time
  Returns Size

setGridLimits1

setGridLimits1: () => void

Type declaration

- (): void
- Returns void

setGridLimits2

setGridLimits2: (center: Real, t: Time) => void

Type declaration

- (center: Real, t: Time): void
- Parameters
  - center: Real
  - t: Time
  Returns void

setupArguments

setupArguments: (a: Arguments) => void

Type declaration

- (a: Arguments): void
- Parameters
  - a: Arguments
  Returns void

setupArguments2

setupArguments2: (args: Arguments, schedule: Event[]) => void

Type declaration

- (args: Arguments, schedule: Event[]): void
- Parameters
  - args: Arguments
  - schedule: Event[]
  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

update

update: () => void

Type declaration

- (): void
- Returns void

Static _safetyZoneFactor

_safetyZoneFactor: Real = 1.1

Methods

calculate

calculate(): void

Overrides VanillaOptionEngineFDMultiPeriodEngine.calculate
- Defined in ql/pricingengines/vanilla/fdbermudanengine.ts:29
Returns void

executeIntermediateStep

executeIntermediateStep(s: Size): void

Overrides VanillaOptionEngineFDMultiPeriodEngine.executeIntermediateStep
- Defined in ql/pricingengines/vanilla/fdbermudanengine.ts:38
Parameters
- s: Size
Returns void

fdInit

fdInit(process: GeneralizedBlackScholesProcess, timeSteps?: Size, gridPoints?: Size, timeDependent?: boolean): FDBermudanEngine

- Defined in ql/pricingengines/vanilla/fdbermudanengine.ts:22
Parameters
- process: GeneralizedBlackScholesProcess
- Default value timeSteps: Size = 100
- Default value gridPoints: Size = 100
- Default value timeDependent: boolean = false
Returns FDBermudanEngine

init1

init1(process: GeneralizedBlackScholesProcess, timeSteps?: Size, gridPoints?: Size, timeDependent?: boolean): FDMultiPeriodEngine

Inherited from VanillaOptionEngineFDMultiPeriodEngine.init1
- Defined in mixins/ql/pricingengines/vanillaoptionenginefdmultiperiodengine.ts:57
Parameters
- process: GeneralizedBlackScholesProcess
- Optional timeSteps: Size
- Optional gridPoints: Size
- Optional timeDependent: boolean
Returns FDMultiPeriodEngine

initializeStepCondition

initializeStepCondition(): void

Overrides VanillaOptionEngineFDMultiPeriodEngine.initializeStepCondition
- Defined in ql/pricingengines/vanilla/fdbermudanengine.ts:34
Returns void

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Scheme: any

Returns FDBermudanEngine

Properties

Scheme

_BCs

_arguments

_center

_events

_exerciseDate

_finiteDifferenceOperator

_gridPoints

_intrinsicValues

_isDisposed

_model

_observables

_observers

_payoff

_prices

_process

_results

_sMax

_sMin

_stepCondition

_stoppingTimes

_timeDependent

_timeStepPerPeriod

_timeSteps

calculate2

Type declaration

Parameters

r: Results

Returns void

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

ensureStrikeInGrid

Type declaration

Returns void

Protected extraTermInBermudan

getArguments

Type declaration

Returns Arguments

getDividendTime

Type declaration

Parameters

i: Size

Returns Time

getResidualTime

Type declaration

Returns Time

getResults

Type declaration

Returns Results

grid

Type declaration

Returns Real[]

init

Type declaration

Parameters

process: GeneralizedBlackScholesProcess

timeSteps: Size

gridPoints: Size

Optional timeDependent: boolean

Returns FDVanillaEngine

initializeBoundaryConditions

Type declaration

Returns void

initializeInitialCondition