Class MCLDEuropeanGJRGARCHEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

MCEuropeanGJRGARCHEngine on low-discrepancy draws with QuantLib's default statistics: QuantLib-Python's MCLDEuropeanGJRGARCHEngine, QuantLib's MCEuropeanGJRGARCHEngine<LowDiscrepancy>, its calculations closed at LowDiscrepancy and GeneralStatistics.

public static class MCLDEuropeanGJRGARCHEngine

Inheritance

object

MCLDEuropeanGJRGARCHEngine

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, GJRGARCHProcess, int?, int?, bool, int?, double?, int?, long)

Prices a European plain-vanilla option.

public static OneAssetOptionResults Calculate(VanillaOption option, EvaluationContext context, GJRGARCHProcess process, int? timeSteps, int? timeStepsPerYear, bool antitheticVariate, int? requiredSamples, double? requiredTolerance, int? maxSamples, long seed)

Parameters

option VanillaOption

The option.

context EvaluationContext

The evaluation context.

process GJRGARCHProcess

The GJR-GARCH process.

timeSteps int?

The number of time steps, or null where they're given per year.

timeStepsPerYear int?

The number of time steps per year, or null.

antitheticVariate bool

Whether antithetic variates are used.

requiredSamples int?

The number of samples, or null where a tolerance is given.

requiredTolerance double?

The absolute tolerance, or null.

maxSamples int?

The most samples, or null.

seed long

The seed.

Returns

OneAssetOptionResults

The option's results: its value and error estimate.

Exceptions

ArgumentNullException

An argument is null.

NanoQLException

The payoff isn't plain vanilla, or QuantLib's Monte Carlo checks fail.