Class FDStepConditionEngine

Finite-differences pricing engine for American-style vanilla options

Hierarchy

FDVanillaEngine
- FDStepConditionEngine

Index

Type aliases

bc_type

Constructors

constructor

Properties

Methods

Type aliases

Static bc_type

bc_type: BoundaryCondition<TridiagonalOperator>

Constructors

constructor

new FDStepConditionEngine(Scheme?: any): FDStepConditionEngine

- Defined in ql/pricingengines/vanilla/fdstepconditionengine.ts:23
Parameters
- Default value Scheme: any = new CrankNicolson()
Returns FDStepConditionEngine

Properties

Scheme

Scheme: any

_BCs

_BCs: bc_type[]

_center

_center: Real

Protected _controlBCs

_controlBCs: bc_type[]

Protected _controlOperator

_controlOperator: TridiagonalOperator

Protected _controlPrices

_controlPrices: SampledCurve

_exerciseDate

_exerciseDate: Date

_finiteDifferenceOperator

_finiteDifferenceOperator: TridiagonalOperator

_gridPoints

_gridPoints: Size

_intrinsicValues

_intrinsicValues: SampledCurve

_payoff

_payoff: Payoff

Protected _prices

_prices: SampledCurve

_process

_process: GeneralizedBlackScholesProcess

_sMax

_sMax: Real

_sMin

_sMin: Real

Protected _stepCondition

_stepCondition: StandardStepCondition

_timeDependent

_timeDependent: boolean

_timeSteps

_timeSteps: Size

Static _safetyZoneFactor

_safetyZoneFactor: Real = 1.1

Methods

calculate2

calculate2(r: Results, parent?: any): void

- Defined in ql/pricingengines/vanilla/fdstepconditionengine.ts:47
Parameters
- r: Results
- Default value parent: any = null
Returns void

ensureStrikeInGrid

ensureStrikeInGrid(): void

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

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): FDStepConditionEngine

- Defined in ql/pricingengines/vanilla/fdstepconditionengine.ts:33
Parameters
- process: GeneralizedBlackScholesProcess
- Default value timeSteps: Size = 100
- Default value gridPoints: Size = 100
- Default value timeDependent: boolean = false
Returns FDStepConditionEngine

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

initializeOperator

initializeOperator(): void

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

Protected initializeStepCondition

initializeStepCondition(): void

- Defined in ql/pricingengines/vanilla/fdstepconditionengine.ts:42
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(args: Arguments): void

Inherited from FDVanillaEngine.setupArguments
- Defined in ql/pricingengines/vanilla/fdvanillaengine.ts:44
Parameters
- args: Arguments
Returns void