org.jquantlib.pricingengines.vanilla.finitedifferences

Class FDAmericanEngine

java.lang.Object

org.jquantlib.pricingengines.vanilla.finitedifferences.FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

org.jquantlib.pricingengines.vanilla.finitedifferences.FDAmericanEngine

All Implemented Interfaces:

OneAssetOption.Engine, PricingEngine, Observable, Observer

public class FDAmericanEngine
extends FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>
implements OneAssetOption.Engine

Pricing engine for American options using finite-differences

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
FDAmericanEngine(GeneralizedBlackScholesProcess process)
FDAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps)
FDAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints)
FDAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int gridPoints, boolean timeDependent)

Method Summary

Modifier and Type	Method and Description
void	addObserver(Observer observer) Attaches a observer to the Observable.
int	countObservers() Counts how many Observers were attached to this class.
void	deleteObserver(Observer observer) Detaches a previously attached observer to the observable.
void	deleteObservers() Detaches all previously attached observer to the observable.
PricingEngine.Arguments	getArguments()
java.util.List<Observer>	getObservers() Returns list of observers registered with the Observable.
PricingEngine.Results	getResults()
void	notifyObservers() Notifies all attached observers about changes in the observable.
void	notifyObservers(java.lang.Object arg) Notifies all attached observers about changes in the observable.
void	reset()
void	update() This method is called whenever the observed object is changed.

Methods inherited from class org.jquantlib.pricingengines.vanilla.finitedifferences.FDEngineAdapter

calculate

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.jquantlib.pricingengines.PricingEngine

calculate

Constructor Detail

FDAmericanEngine

public FDAmericanEngine(GeneralizedBlackScholesProcess process)

FDAmericanEngine

public FDAmericanEngine(GeneralizedBlackScholesProcess process,
                        int timeSteps)

FDAmericanEngine

public FDAmericanEngine(GeneralizedBlackScholesProcess process,
                        int timeSteps,
                        int gridPoints)

FDAmericanEngine

public FDAmericanEngine(GeneralizedBlackScholesProcess process,
                        int timeSteps,
                        int gridPoints,
                        boolean timeDependent)

Method Detail

getArguments

public PricingEngine.Arguments getArguments()

Specified by:

getArguments in interface PricingEngine

getResults

public PricingEngine.Results getResults()

Specified by:

getResults in interface PricingEngine

reset

public void reset()

Specified by:

reset in interface PricingEngine

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface PricingEngine

Specified by:

update in interface Observer

Overrides:

update in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

addObserver

public void addObserver(Observer observer)

Description copied from interface: Observable

Attaches a observer to the Observable. After attachment the observer gets informed about changes in the Observable.

Specified by:

addObserver in interface Observable

Overrides:

addObserver in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

Parameters:

observer - The observer to attach to the observable

countObservers

public int countObservers()

Description copied from interface: Observable

Counts how many Observers were attached to this class.

Specified by:

countObservers in interface Observable

Overrides:

countObservers in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

Returns:

the number of Observers

See Also:

Observer

deleteObserver

public void deleteObserver(Observer observer)

Description copied from interface: Observable

Detaches a previously attached observer to the observable. After detachment the observer does no longer receive change notifications from the observable.

Specified by:

deleteObserver in interface Observable

Overrides:

deleteObserver in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

Parameters:

observer - The observer to detach from the observable

deleteObservers

public void deleteObservers()

Description copied from interface: Observable

Detaches all previously attached observer to the observable. After detachment observers do not longer receive change notifications from the observable.

Specified by:

deleteObservers in interface Observable

Overrides:

deleteObservers in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

getObservers

public java.util.List<Observer> getObservers()

Description copied from interface: Observable

Returns list of observers registered with the Observable. List returned is unmodifiable list.

Specified by:

getObservers in interface Observable

Overrides:

getObservers in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

Returns:

list of observers

notifyObservers

public void notifyObservers()

Description copied from interface: Observable

Notifies all attached observers about changes in the observable.

Specified by:

notifyObservers in interface Observable

Overrides:

notifyObservers in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

notifyObservers

public void notifyObservers(java.lang.Object arg)

Description copied from interface: Observable

Notifies all attached observers about changes in the observable.

Specified by:

notifyObservers in interface Observable

Overrides:

notifyObservers in class FDEngineAdapter<FDAmericanCondition<FDStepConditionEngine>,OneAssetOption.Engine>

Parameters:

arg - an arbitrary Object to be passed to the Observer