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Class FDEuropeanEngine

Pricing engine for European options using finite-differences

test

the correctness of the returned value is tested by checking it against analytic results.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • Scheme: any

    Returns FDEuropeanEngine

Properties

Scheme

Scheme: any

_BCs

_BCs: bc_type[]

_arguments

_arguments: Arguments = new OneAssetOption.Arguments()

_center

_center: Real

_exerciseDate

_exerciseDate: Date

_finiteDifferenceOperator

_finiteDifferenceOperator: TridiagonalOperator

_gridPoints

_gridPoints: Size

_intrinsicValues

_intrinsicValues: SampledCurve

_isDisposed

_isDisposed: boolean = false

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_payoff

_payoff: Payoff

Private _prices

_prices: SampledCurve

_process

_process: GeneralizedBlackScholesProcess

_results

_results: Results = new OneAssetOption.Results()

_sMax

_sMax: Real

_sMin

_sMin: Real

_timeDependent

_timeDependent: boolean

_timeSteps

_timeSteps: Size

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

ensureStrikeInGrid

ensureStrikeInGrid: () => void

Type declaration

    • (): void

    • Returns void

getArguments

getArguments: () => Arguments

Type declaration

getResidualTime

getResidualTime: () => Time

Type declaration

getResults

getResults: () => Results

Type declaration

grid

grid: () => Real[]

Type declaration

init

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

Type declaration

initializeBoundaryConditions

initializeBoundaryConditions: () => void

Type declaration

    • (): void

    • Returns void

initializeInitialCondition

initializeInitialCondition: () => 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

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

reset

reset: () => void

Type declaration

    • (): void

    • Returns void

safeGridPoints

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

Type declaration

setGridLimits1

setGridLimits1: () => void

Type declaration

    • (): void

    • Returns void

setGridLimits2

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

Type declaration

setupArguments

setupArguments: (a: Arguments) => void

Type declaration

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

Static _safetyZoneFactor

_safetyZoneFactor: Real = 1.1

Methods

calculate

  • calculate(): void

fdInit