Class VanillaOptionPricer

Namespace

NanoQL.Coupons

Assembly

NanoQL.dll

The price of a vanilla option on a swap rate, deflated: the replication's building block in Hagan's pricers.

public abstract class VanillaOptionPricer

Inheritance

object

VanillaOptionPricer

Derived

MarketQuotedOptionPricer

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Unsealed, as in QuantLib, where MarketQuotedOptionPricer derives from it.

Constructors

VanillaOptionPricer()

protected VanillaOptionPricer()

Methods

Evaluate(double, OptionType, double)

The option's price: QuantLib's operator().

public abstract double Evaluate(double strike, OptionType optionType, double deflator)

Parameters

strike double

The strike.

optionType OptionType

The option's type.

deflator double

The deflator, the annuity of the swap.

Returns

double

The price.