Class BinomialJRDoubleBarrierEngine

Namespace: NanoQL.Experimental

Assembly: NanoQL.dll

The binomial double-barrier engine on the Jarrow-Rudd tree and Derman and Kani's discretized double-barrier option: QuantLib-Python's BinomialJRDoubleBarrierEngine, QuantLib's BinomialDoubleBarrierEngine<JarrowRudd, DiscretizedDermanKaniDoubleBarrierOption>, the wheel's closing.

[Experimental("NQL0001")]
public static class BinomialJRDoubleBarrierEngine

Inheritance: object

BinomialJRDoubleBarrierEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(DoubleBarrierOption, EvaluationContext, GeneralizedBlackScholesProcess, int)

Prices a double barrier option on a binomial tree.

public static OneAssetOptionResults Calculate(DoubleBarrierOption option, EvaluationContext context, GeneralizedBlackScholesProcess process, int timeSteps)

Parameters

option DoubleBarrierOption: The option, with a striked payoff.
context EvaluationContext: The evaluation context.
process GeneralizedBlackScholesProcess: The Black-Scholes process.
timeSteps int: The number of time steps, positive.

Returns

OneAssetOptionResults: The value, delta, gamma and theta; the delta and the gamma null where the tree's first nodes don't separate.

Exceptions

ArgumentNullException: An argument is null.
ArgumentException: timeSteps isn't positive.
NanoQLException: The underlying isn't positive, the payoff isn't striked, the tree can't be built, or the asset refuses the barrier type.