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Class optionCalc.AbstractOption

java.lang.Object
   |
   +----optionCalc.AbstractOption

public abstract class AbstractOption

extends Object

AbstractOption(int, double, double, double, double)

A superclass constructor for derived objects, this function sets the initial values of the member fields.

calc_american_option()

Calculates the option value on the PDAG using the American method where payoff can be evaluated at any node

calc_european_option()

Calculates the option value on the PDAG using the European method where payoff is evaluated only at the time horizon.

F(double, double)

Determines how the auxillary process evolves over time.

genPDAG()

Generates the PDAG out to the time Horizon T according to the values of the member fields.

payoff(double, double, int)

Determines the payoff in terms of the stock price, auxilliary process and time.

printPDAG()

Prints the PDAG.

 public AbstractOption(int T,
                       double r,
                       double u,
                       double d,
                       double s_0)

A superclass constructor for derived objects, this function sets the initial values of the member fields.

Parameters:

T - the (int) time Horizon

r - the (double) short rate

u - the (double) up-factor

d - the (double) down-factor

s_0 - the (double) initial stock price

 public abstract double F(double s,
                          double x)

Determines how the auxillary process evolves over time. This method is abstract and must be implemented in a derived class.

Parameters:

s - the (double) new stock price

x - the (double) old value of the aux process

 public abstract double payoff(double s,
                               double x,
                               int t)

Determines the payoff in terms of the stock price, auxilliary process and time. This method is abstract and must be implemented in a derived class.

Parameters:

s - the (double) stock price

x - the (double) value of the aux process

t - the (int) time value

 public void genPDAG()

Generates the PDAG out to the time Horizon T according to the values of the member fields. Must be called before any of the calc methods.

 public void calc_european_option()

Calculates the option value on the PDAG using the European method where payoff is evaluated only at the time horizon.

 public void calc_american_option()

Calculates the option value on the PDAG using the American method where payoff can be evaluated at any node

 public void printPDAG()

Prints the PDAG.

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