Class IntegralEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The pricing engine for European vanilla options by integrating the payoff against the lognormal density of the underlying at expiry, by the segment rule on 5,000 intervals over ten standard deviations each side.

public static class IntegralEngine

Inheritance

object

IntegralEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The engine reports the value. Each structure is read at the exercise date by date, nothing accrued before its own reference date (the mismatched-dates class), where QuantLib's reads throw.

At zero variance QuantLib's bounds collapse and its density divides by zero (integralengine.cpp:78-83), NaN; here the value is the payoff at the forward, discounted, the density's limit. A documented divergence (Divergences/IntegralEngineZeroVarianceTests.cs).

Methods

Calculate(VanillaOption, EvaluationContext, GeneralizedBlackScholesProcess)

Prices a European vanilla option.

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

Parameters

option VanillaOption

The option.

context EvaluationContext

The evaluation context.

process GeneralizedBlackScholesProcess

The Black-Scholes process.

Returns

OneAssetOptionResults

The option's results: the value; the expired results when it has expired.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The exercise isn't European, or the payoff isn't striked.