org.jquantlib.pricingengines.vanilla

Class JuQuadraticApproximationEngine

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.JuQuadraticApproximationEngine

All Implemented Interfaces:

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

public class JuQuadraticApproximationEngine
extends VanillaOption.EngineImpl

An Approximate Formula for Pricing American Options, Journal of Derivatives Winter 1999, Ju, N.

Known issue, the case of zero interest rates causes a division by zero

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
JuQuadraticApproximationEngine(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

JuQuadraticApproximationEngine

public JuQuadraticApproximationEngine(GeneralizedBlackScholesProcess process)

Method Detail

calculate

public void calculate()