Class FDDividendEngineShiftScale

Finite-differences engine for dividend options using shifted dividends

This engine uses the same algorithm that was used in versions 0.3.11 and earlier. It produces results that are different from the Merton-73 engine.

todo: Review literature to see whether this is described

Hierarchy

FDDividendEngineBase
- FDDividendEngineShiftScale

Index

Constructors

constructor

Constructors

constructor

new FDDividendEngineShiftScale(Scheme?: any): FDDividendEngineShiftScale

Overrides FDDividendEngineBase.constructor
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:156
Parameters
- Default value Scheme: any = new CrankNicolson()
Returns FDDividendEngineShiftScale

Properties

Scheme

Scheme: any

_BCs

_BCs: bc_type[]

_center

_center: Real

_events

_events: Event[]

_exerciseDate

_exerciseDate: Date

_finiteDifferenceOperator

_finiteDifferenceOperator: TridiagonalOperator

_gridPoints

_gridPoints: Size

_intrinsicValues

_intrinsicValues: SampledCurve

_model

_model: any

_payoff

_payoff: Payoff

_prices

_prices: SampledCurve

_process

_process: GeneralizedBlackScholesProcess

_sMax

_sMax: Real

_sMin

_sMin: Real

_stepCondition

_stepCondition: StandardStepCondition

_stoppingTimes

_stoppingTimes: Time[]

_timeDependent

_timeDependent: boolean

_timeStepPerPeriod

_timeStepPerPeriod: Size

_timeSteps

_timeSteps: Size

Static _safetyZoneFactor

_safetyZoneFactor: Real = 1.1

Methods

calculate2

calculate2(r: Results): void

Inherited from FDMultiPeriodEngine.calculate2
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:68
Parameters
- r: Results
Returns void

ensureStrikeInGrid

ensureStrikeInGrid(): void

Inherited from FDVanillaEngine.ensureStrikeInGrid
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:57
Returns void

executeIntermediateStep

executeIntermediateStep(step: Size): void

Overrides FDDividendEngineBase.executeIntermediateStep
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:195
Parameters
- step: Size
Returns void

fdInit

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

Overrides FDDividendEngineBase.fdInit
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:166
Parameters
- process: GeneralizedBlackScholesProcess
- Default value timeSteps: Size = 100
- Default value gridPoints: Size = 100
- Default value timeDependent: boolean = false
Returns FDDividendEngineShiftScale

Protected getDiscountedDividend

getDiscountedDividend(i: Size): Real

Inherited from FDDividendEngineBase.getDiscountedDividend
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:75
Parameters
- i: Size
Returns Real

Protected getDividendAmount

getDividendAmount(i: Size): Real

Inherited from FDDividendEngineBase.getDividendAmount
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:63
Parameters
- i: Size
Returns Real

getDividendTime

getDividendTime(i: Size): Time

Inherited from FDMultiPeriodEngine.getDividendTime
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:187
Parameters
- i: Size
Returns Time

getResidualTime

getResidualTime(): Time

Inherited from FDVanillaEngine.getResidualTime
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:159
Returns Time

grid

grid(): Real[]

Inherited from FDVanillaEngine.grid
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:40
Returns Real[]

init

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

Inherited from FDVanillaEngine.init
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:28
Parameters
- process: GeneralizedBlackScholesProcess
- timeSteps: Size
- gridPoints: Size
- Default value timeDependent: boolean = false
Returns FDVanillaEngine

init1

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

Inherited from FDMultiPeriodEngine.init1
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:31
Parameters
- process: GeneralizedBlackScholesProcess
- Default value timeSteps: Size = 100
- Default value gridPoints: Size = 100
- Default value timeDependent: boolean = false
Returns FDMultiPeriodEngine

initializeBoundaryConditions

initializeBoundaryConditions(): void

Inherited from FDVanillaEngine.initializeBoundaryConditions
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:117
Returns void

initializeInitialCondition

initializeInitialCondition(): void

Inherited from FDVanillaEngine.initializeInitialCondition
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:112
Returns void

initializeModel

initializeModel(): void

Inherited from FDMultiPeriodEngine.initializeModel
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:183
Returns void

initializeOperator

initializeOperator(): void

Inherited from FDVanillaEngine.initializeOperator
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:127
Returns void

initializeStepCondition

initializeStepCondition(): void

Inherited from FDMultiPeriodEngine.initializeStepCondition
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:179
Returns void

safeGridPoints

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

Inherited from FDVanillaEngine.safeGridPoints
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:163
Parameters
- gridPoints: Size
- residualTime: Time
Returns Size

setGridLimits

setGridLimits(): void

Overrides FDDividendEngineBase.setGridLimits
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:174
Returns void

setGridLimits1

setGridLimits1(): void

Inherited from FDVanillaEngine.setGridLimits1
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:81
Returns void

setGridLimits2

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

Inherited from FDVanillaEngine.setGridLimits2
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:88
Parameters
- center: Real
- t: Time
Returns void

setupArguments

setupArguments(a: Arguments): void

Inherited from FDDividendEngineBase.setupArguments

Overrides FDMultiPeriodEngine.setupArguments
- Defined in ql/pricingengines/vanilla/fddividendengine.ts:43
Parameters
- a: Arguments
Returns void

setupArguments2

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

Inherited from FDMultiPeriodEngine.setupArguments2
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:39
Parameters
- args: Arguments
- schedule: Event[]
Returns void