Class FDMultiPeriodEngine

Hierarchy

FDVanillaEngine
- FDMultiPeriodEngine
  - FDDividendEngineBase

Implemented by

Index

Type aliases

bc_type

Constructors

constructor

Methods

Type aliases

Static bc_type

bc_type: BoundaryCondition<TridiagonalOperator>

Constructors

constructor

new FDMultiPeriodEngine(Scheme?: any): FDMultiPeriodEngine

- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:20
Parameters
- Default value Scheme: any = new CrankNicolson()
Returns FDMultiPeriodEngine

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

- 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

- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:175
Parameters
- step: Size
Returns void

getDividendTime

getDividendTime(i: Size): Time

- 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

- 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

- 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

- 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

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

Overrides FDVanillaEngine.setupArguments
- Defined in ql/pricingengines/vanilla/fdmultiperiodengine.ts:50
Parameters
- a: Arguments
Returns void

setupArguments2

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

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