Class AnalyticHolderExtensibleOptionEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The analytic engine for a holder-extensible option: Longstaff's formula, the vanilla to the first maturity and bivariate terms over the region where the holder extends, between two critical prices.

public static class AnalyticHolderExtensibleOptionEngine

Inheritance: object

AnalyticHolderExtensibleOptionEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Stateless. QuantLib's fixes after v1.44 (#2892) are taken: the put's correlation sign, the Newton seeds at the strike, the put's derivative, the empty extension region and the call's with dividends (Divergences/HolderExtensibleCriticalPricesTests.cs). QuantLib evaluates the formula on one zero rate, dividend yield and volatility, read at the first maturity, for both periods, so it is exact only on flat markets; here each term reads the variances to each maturity at the first strike, the correlation from their ratio and the discounts by date, and the critical prices solve the forward Black values from the first maturity (Divergences/HolderExtensibleTermStructureTests.cs, against the exact integral at the first maturity within the critical prices' accuracy). The bivariate normal is West's, QuantLib's default, where its engine reads Drezner's; an infinite critical price meets its limit there. QuantLib's Newton iterations and stopping rule are kept, capped at 1,000 iterations.

Every structure is read by date, accruing nothing before its own date (Divergences/ExoticMismatchedTimesTests.cs); a date before the process's clock keeps QuantLib's "negative time" refusal.

Methods

Calculate(HolderExtensibleOption, EvaluationContext, GeneralizedBlackScholesProcess)

Prices a holder-extensible option: QuantLib's calculate.

public static OneAssetOptionResults Calculate(HolderExtensibleOption option, EvaluationContext context, GeneralizedBlackScholesProcess process)

Parameters

option HolderExtensibleOption: The option.
context EvaluationContext: The evaluation context.
process GeneralizedBlackScholesProcess: The underlying's process.

Returns

OneAssetOptionResults: The option's results: the value.

Exceptions

ArgumentNullException: An argument is null.
NanoQLException: The option's terms are invalid, its payoff isn't plain vanilla, a date is before the clock's date, or a critical price isn't found in 1,000 iterations.