org.jquantlib.pricingengines.vanilla

Class BaroneAdesiWhaleyApproximationEngine

java.lang.Object

org.jquantlib.pricingengines.GenericEngine<OneAssetOption.Arguments,OneAssetOption.Results>

org.jquantlib.instruments.OneAssetOption.EngineImpl

org.jquantlib.instruments.VanillaOption.EngineImpl

org.jquantlib.pricingengines.vanilla.BaroneAdesiWhaleyApproximationEngine

All Implemented Interfaces:

OneAssetOption.Engine, VanillaOption.Engine, PricingEngine, Observable, Observer

public class BaroneAdesiWhaleyApproximationEngine
extends VanillaOption.EngineImpl

Barone-Adesi and Whaley pricing engine for American options

Nested Class Summary

Nested classes/interfaces inherited from interface org.jquantlib.pricingengines.PricingEngine

PricingEngine.Arguments, PricingEngine.Results

Field Summary

Fields inherited from interface org.jquantlib.pricingengines.PricingEngine

PRICING_ENGINE_NOT_SET

Constructor Summary

Constructors

Constructor and Description
BaroneAdesiWhaleyApproximationEngine(GeneralizedBlackScholesProcess process)

Method Summary

Modifier and Type	Method and Description
void	calculate()

Methods inherited from class org.jquantlib.pricingengines.GenericEngine

addObserver, countObservers, deleteObserver, deleteObservers, getArguments, getObservers, getResults, notifyObservers, notifyObservers, reset, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.jquantlib.pricingengines.PricingEngine

getArguments, getResults, reset, update

Methods inherited from interface org.jquantlib.util.Observable

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, notifyObservers, notifyObservers

Methods inherited from interface org.jquantlib.util.Observer

update

Constructor Detail

BaroneAdesiWhaleyApproximationEngine

public BaroneAdesiWhaleyApproximationEngine(GeneralizedBlackScholesProcess process)

Method Detail

calculate

public void calculate()