Class BinomialJRVanillaEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

The binomial engine on the Jarrow-Rudd tree: QuantLib-Python's BinomialJRVanillaEngine, QuantLib's BinomialVanillaEngine<JarrowRudd>.

public static class BinomialJRVanillaEngine

Inheritance: object

BinomialJRVanillaEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, int)

Prices a vanilla option on the Jarrow-Rudd tree.

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

Parameters

option VanillaOption: The option, with a plain-vanilla payoff.
context EvaluationContext: The evaluation context.
process GeneralizedBlackScholesProcess: The Black-Scholes process.
timeSteps int: The number of time steps, at least 2.

Returns

OneAssetOptionResults: The results, as Calculate<TTree>(VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess, int) gives them.

Exceptions

ArgumentNullException: An argument is null.
ArgumentException: timeSteps is below 2.
NanoQLException: The payoff isn't plain vanilla, or the option can't be priced.