Class DiscretizedDermanKaniBarrierOption

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

A barrier option on a lattice with Derman and Kani's correction: at the nodes straddling the barrier, the values interpolate between the rolled-back value and the knocked-in vanilla or knocked-out rebate by the nodes' distances from the barrier.

[WorkingType]
public sealed class DiscretizedDermanKaniBarrierOption : DiscretizedAsset, IDiscretizedBarrierAsset<DiscretizedDermanKaniBarrierOption>

Inheritance

object

DiscretizedAsset

DiscretizedDermanKaniBarrierOption

Implements

IDiscretizedBarrierAsset<DiscretizedDermanKaniBarrierOption>

Inherited Members

DiscretizedAsset.Initialize(Lattice, double)

DiscretizedAsset.Rollback(double)

DiscretizedAsset.PartialRollback(double)

DiscretizedAsset.PresentValue()

DiscretizedAsset.PreAdjustValues()

DiscretizedAsset.PostAdjustValues()

DiscretizedAsset.AdjustValues()

DiscretizedAsset.ReserveCapacity(int)

DiscretizedAsset.StepValues(int)

DiscretizedAsset.CommitStep(int, double)

DiscretizedAsset.Time

DiscretizedAsset.Values

DiscretizedAsset.Method

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type, as every discretized asset is: it rolls an unenhanced DiscretizedBarrierOption back beside it, kept and initialized again at each reset, and reads the lattice's grid into a buffer it reserves at its widest step, so a rollback allocates nothing.

Constructors

DiscretizedDermanKaniBarrierOption(BarrierOption, StochasticProcess, TimeGrid?)

Initializes a new instance of the DiscretizedDermanKaniBarrierOption class.

public DiscretizedDermanKaniBarrierOption(BarrierOption option, StochasticProcess process, TimeGrid? grid = null)

Parameters

option BarrierOption

The barrier option.

process StochasticProcess

The process, which converts the exercise dates to times.

grid TimeGrid

The time grid the exercise times are moved to the closest of, or null for none, QuantLib's empty grid.

Exceptions

ArgumentNullException

option or process is null.

NanoQLException

The option has no payoff.

Methods

MandatoryTimes()

The option's mandatory times: the unenhanced asset's, its exercise times.

public override ImmutableArray<double> MandatoryTimes()

Returns

ImmutableArray<double>

The times.

PostAdjustValuesImpl()

Rolls the unenhanced asset back to the asset's time, corrects the nodes straddling the barrier, then applies the unenhanced asset's barrier check to the asset's values.

protected override void PostAdjustValuesImpl()

Reset(int)

Sets the values to zero at the given size, initializes the unenhanced asset beside them, then applies the barrier.

public override void Reset(int size)

Parameters

size int

The number of values.

Exceptions

ArgumentOutOfRangeException

size is negative.

NanoQLException

The asset isn't on a lattice.

Explicit Interface Implementations

Create(BarrierOption, StochasticProcess, TimeGrid?)

Builds the asset of a barrier option.

static DiscretizedDermanKaniBarrierOption Create(BarrierOption option, StochasticProcess process, TimeGrid? grid)

Parameters

option BarrierOption

The barrier option.

process StochasticProcess

The process, which converts the exercise dates to times.

grid TimeGrid

The time grid the exercise times are moved to the closest of, or null for none, QuantLib's empty grid.

Returns

DiscretizedDermanKaniBarrierOption

The asset.