Class BinomialJRBarrierEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The binomial barrier engine on the Jarrow-Rudd tree and Derman and Kani's discretized barrier option: QuantLib-Python's BinomialJRBarrierEngine, QuantLib's BinomialBarrierEngine<JarrowRudd, DiscretizedDermanKaniBarrierOption>, the wheel's closing.

public static class BinomialJRBarrierEngine

Inheritance: object

BinomialJRBarrierEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(BarrierOption, EvaluationContext, GeneralizedBlackScholesProcess, int, int)

Prices a barrier option on a binomial tree.

public static OneAssetOptionResults Calculate(BarrierOption option, EvaluationContext context, GeneralizedBlackScholesProcess process, int timeSteps, int maxTimeSteps = 0)

Parameters

option BarrierOption: 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.
maxTimeSteps int: The most time steps Boyle and Lau's optimum may raise them to: 0, QuantLib's default, for the heuristic max(1000, 5 × timeSteps); equal to timeSteps to disable it. Ignored but for Cox-Ross-Rubinstein trees.

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, or maxTimeSteps is neither 0 nor at least timeSteps.
NanoQLException: The payoff isn't striked or its strike isn't positive, the underlying isn't positive or lies beyond the barrier ("barrier touched"), or the tree can't be built.