American-transaction costs 1.0.0.0
American option pricer under proportional transaction costs
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FlexibleTree | |
FlexibleTreeBinomial | Flexible binomial tree with proportional transaction costs |
FlexibleTreeTrinomial | Flexible trinomial tree with proportional transaction costs |
Line | Straight line in two dimensions |
Parameter | Abstract parameter class |
ParameterBridge | Wrapper class for Parameter |
ParameterConstant | Parameter with fixed value |
ParameterConstantZeroInitial | Parameter with value 0 at time 0, and fixed value at all other times |
ParameterConstantZeroInitialFinal | Parameter with fixed value, except that it is equal to zero both at time 0 and at some other time in the future |
ParameterIntegrable | Parameter that is integrable over time |
ParameterIntegrableBridge | Wrapper class for ParameterIntegrable |
ParameterIntegrableConstant | Parameter with fixed value (where integrability is used) |
Payoff | Option payoff consisting of a portfolio of cash and shares |
PayoffBasket | Basket option |
PayoffBearSpread | Bear spread |
PayoffBridge | Wrapper for Payoff |
PayoffBullSpread | Bull spread |
PayoffButterfly | Butterfly spread |
PayoffCallCashAsk | Call option with cash delivery based on ask price |
PayoffCallCashBid | Call option with cash delivery based on bid price |
PayoffCallCashUnderlying | Call option with cash delivery based on underlying stock price |
PayoffCallPhysical | Call option with physical delivery |
PayoffCallPhysicalAsk | Call option with physical delivery based on ask price (deprecated) |
PayoffCallPhysicalBid | Call option with physical delivery based on bid price (deprecated) |
PayoffCallPhysicalUnderlying | Call option with physical delivery based on underlying stock price (deprecated) |
PayoffConstant | Option with fixed payoff independent of spot |
PayoffMulti | Scalar multiple of Payoff |
PayoffNeg | Negates Payoff |
PayoffPutCashAsk | Put option with cash delivery based on ask price |
PayoffPutCashBid | Put option with cash delivery based on bid price |
PayoffPutCashUnderlying | Put option with cash delivery based on underlying price |
PayoffPutPhysical | Put option with physical delivery |
PayoffPutPhysicalAsk | Put option with physical delivery based on ask price (deprecated) |
PayoffPutPhysicalBid | Put option with physical delivery based on bid price (deprecated) |
PayoffPutPhysicalUnderlying | Put option with physical delivery based on underlying price (deprecated) |
PayoffSingleStrike | Payoff with one strike |
PiecewiseLinear | Piecewise linear (affine) function |
Portfolio | Holdings of cash and stock |
ShortRate | Abstraction of short rate for purposes of discounting |
ShortRateContinuous | ShortRate with continuous compounding |
ShortRateDiscrete | ShortRate with discrete compounding |
Spot | Asset price with proportional transaction costs |
SpotMuLambda | Asset price with proportional transaction costs |
StatisticsGatherer< T > | Collects statistics in the FlexibleTree class |
StatisticsGathererAll< T > | Collects all objects of interest |
StatisticsGathererFinal< T > | Collects all objects of interest at final time step only (not tested) |
StatisticsGathererInitial< T > | Collects object of interest only at root node |
StatisticsGathererPath< T > | Collects paths of objects of interest |
StatisticsGathererSome< T > | Collects all objects of interest with paths moving through the specified nodes |
TreeProduct | Virtual base class for path-independent European and American options |
TreeProductAmerican | TreeProduct methods for American options |
TreeProductAmericanBuyer | Prices TreeProductAmerican for the buyer (deprecated) |
TreeProductAmericanBuyerOptional | Prices TreeProductAmerican for the buyer |
TreeProductAmericanSeller | Prices TreeProductAmerican for the seller (deprecated) |
TreeProductAmericanSellerOptional | Prices TreeProductAmerican for the seller |
TreeProductEuropean | TreeProduct methods for European options |
TreeProductEuropeanBuyer | Prices TreeProductEuropean for the buyer (deprecated) |
TreeProductEuropeanBuyerOptional | Prices TreeProductEuropean for the buyer |
TreeProductEuropeanSeller | Prices TreeProductEuropean for the seller (deprecated) |
TreeProductEuropeanSellerOptional | Prices TreeProductEuropean for the seller |
TreeProductExercisable | Encapsulates exercise decision at a particular time and spot |
TreeProductRandomExercisable | Encapsulates randomised exercise decision |