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"ql/pricingengines/vanilla/fdsimplebsswingengine"
FdSimpleBSSwingEngine
Class FdSimpleBSSwingEngine
Finite-Differences Black Scholes engine for simple swing options
Hierarchy
GenericEngine
<
Arguments
,
Results
>
FdSimpleBSSwingEngine
Implements
Observable
Observer
PricingEngine
Index
Constructors
constructor
Properties
_arguments
_is
Disposed
_observables
_observers
_process
_results
_scheme
Desc
_t
Grid
_x
Grid
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
Methods
calculate
get
Arguments
get
Results
reset
update
Constructors
constructor
new
FdSimpleBSSwing
Engine
(
process
:
GeneralizedBlackScholesProcess
, tGrid
?:
Size
, xGrid
?:
Size
, schemeDesc
?:
FdmSchemeDesc
)
:
FdSimpleBSSwingEngine
Parameters
process:
GeneralizedBlackScholesProcess
Default value
tGrid:
Size
= 50
Default value
xGrid:
Size
= 100
Default value
schemeDesc:
FdmSchemeDesc
= FdmSchemeDesc.Douglas()
Returns
FdSimpleBSSwingEngine
Properties
_arguments
_arguments
:
Arguments
_is
Disposed
_is
Disposed
:
boolean
= false
_observables
_observables
:
Set
<
Observable
>
= new Set()
_observers
_observers
:
Set
<
Observer
>
= new Set()
Private
_process
_process
:
GeneralizedBlackScholesProcess
_results
_results
:
Results
Private
_scheme
Desc
_scheme
Desc
:
FdmSchemeDesc
Private
_t
Grid
_t
Grid
:
Size
Private
_x
Grid
_x
Grid
:
Size
deep
Update
deep
Update
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
dispose
dispose
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
is
Disposed
is
Disposed
:
boolean
notify
Observers
notify
Observers
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
register
Observer
register
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
register
With
register
With
:
(
h
:
Observable
)
=>
void
Type declaration
(
h
:
Observable
)
:
void
Parameters
h:
Observable
Returns
void
register
With
Observables
register
With
Observables
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
Observer
unregister
Observer
:
(
o
:
Observer
)
=>
void
Type declaration
(
o
:
Observer
)
:
void
Parameters
o:
Observer
Returns
void
unregister
With
unregister
With
:
(
h
:
Observable
)
=>
Size
Type declaration
(
h
:
Observable
)
:
Size
Parameters
h:
Observable
Returns
Size
unregister
With
All
unregister
With
All
:
(
)
=>
void
Type declaration
(
)
:
void
Returns
void
Methods
calculate
calculate
(
)
:
void
Returns
void
get
Arguments
get
Arguments
(
)
:
Arguments
Returns
Arguments
get
Results
get
Results
(
)
:
Results
Returns
Results
reset
reset
(
)
:
void
Returns
void
update
update
(
)
:
void
Returns
void
Globals
"ql/pricingengines/vanilla/fdsimplebsswingengine"
Fd
SimpleBSSwing
Engine
constructor
_arguments
_is
Disposed
_observables
_observers
_process
_results
_scheme
Desc
_t
Grid
_x
Grid
deep
Update
dispose
is
Disposed
notify
Observers
register
Observer
register
With
register
With
Observables
unregister
Observer
unregister
With
unregister
With
All
calculate
get
Arguments
get
Results
reset
update
Finite-Differences Black Scholes engine for simple swing options