External module "ql/experimental/barrieroption/perturbativebarrieroptionengine"

Index

Classes

Interfaces

byRef

Variables

AR
H1
H2
H3
NUC
PI
R23
RUA
RUB
RUC

Functions

Variables

Let AR

AR: Real

Let H1

H1: Real

Let H2

H2: Real

Let H3

H3: Real

Let NUC

Const PI

PI: Real = 3.141592653589793

Let R23

R23: Real

Let RUA

RUA: Real

Let RUB

RUB: Real

Let RUC

RUC: Real

Functions

ADONET

ADONET(A: Real, B: Real, TOL: Real, TVTMFN: Function): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1025
Parameters
- A: Real
- B: Real
- TOL: Real
- TVTMFN: Function
Returns Real

BVTL

BVTL(NU: Integer, DH: Real, DK: Real, R: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1187
Parameters
- NU: Integer
- DH: Real
- DK: Real
- R: Real
Returns Real

BarrierUPD

BarrierUPD(kprice: Real, stock: Real, hbarr: Real, taumin: Real, taumax: Real, iord: Integer, igm: Integer, integr: BinaryFunction<Real, Real, Real>, integalpha: BinaryFunction<Real, Real, Real>, integs: BinaryFunction<Real, Real, Real>, alpha: UnaryFunction<Real, Real>, sigmaq: UnaryFunction<Real, Real>): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:168
Parameters
- kprice: Real
- stock: Real
- hbarr: Real
- taumin: Real
- taumax: Real
- iord: Integer
- igm: Integer
- integr: BinaryFunction<Real, Real, Real>
- integalpha: BinaryFunction<Real, Real, Real>
- integs: BinaryFunction<Real, Real, Real>
- alpha: UnaryFunction<Real, Real>
- sigmaq: UnaryFunction<Real, Real>
Returns Real

KRNRDT

KRNRDT(A: Real, B: Real, TVTMFN: Function, ref: byRef): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1065
Parameters
- A: Real
- B: Real
- TVTMFN: Function
- ref: byRef
Returns Real

ND2

ND2(a: Real, b: Real, rho: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1337
Parameters
- a: Real
- b: Real
- rho: Real
Returns Real

PHID

PHID(Z: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:417
Parameters
- Z: Real
Returns Real

PNTGND

PNTGND(NUC: Integer, BA: Real, BB: Real, BC: Real, RA: Real, RB: Real, R: Real, RR: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1308
Parameters
- NUC: Integer
- BA: Real
- BB: Real
- BC: Real
- RA: Real
- RB: Real
- R: Real
- RR: Real
Returns Real

SIGN

SIGN(a: Real, b: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:82
Parameters
- a: Real
- b: Real
Returns Real

SINCS

SINCS(X: Real, ref: byRef): void

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1007
Parameters
- X: Real
- ref: byRef
Returns void

STUDNT

STUDNT(NU: Integer, T: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:1152
Parameters
- NU: Integer
- T: Real
Returns Real

TVTMFN

TVTMFN(X: Real, H1: Real, H2: Real, H3: Real, R23: Real, RUA: Real, RUB: Real, AR: Real, RUC: Real, NUC: Integer): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:972
Parameters
- X: Real
- H1: Real
- H2: Real
- H3: Real
- R23: Real
- RUA: Real
- RUB: Real
- AR: Real
- RUC: Real
- NUC: Integer
Returns Real

ddff

ddff(s: Real, p: Real, tt: Real, a: Real, b: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:633
Parameters
- s: Real
- p: Real
- tt: Real
- a: Real
- b: Real
- gm: Real
Returns Real

ddll

ddll(s: Real, p: Real, tt: Real, ax: Real, bx: Real, c: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:682
Parameters
- s: Real
- p: Real
- tt: Real
- ax: Real
- bx: Real
- c: Real
- gm: Real
Returns Real

ddvv

ddvv(s: Real, p: Real, tt: Real, a: Real, b: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:737
Parameters
- s: Real
- p: Real
- tt: Real
- a: Real
- b: Real
- gm: Real
Returns Real

derivn3

derivn3(limit: Real[], sigmarho: Real[], idx: Integer): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:794
Parameters
- limit: Real[]
- sigmarho: Real[]
- idx: Integer
Returns Real

dff

dff(s: Real, p: Real, tt: Real, a: Real, b: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:574
Parameters
- s: Real
- p: Real
- tt: Real
- a: Real
- b: Real
- gm: Real
Returns Real

dll

dll(s: Real, p: Real, tt: Real, a: Real, b: Real, c: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:600
Parameters
- s: Real
- p: Real
- tt: Real
- a: Real
- b: Real
- c: Real
- gm: Real
Returns Real

dvv

dvv(s: Real, p: Real, tt: Real, a: Real, b: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:543
Parameters
- s: Real
- p: Real
- tt: Real
- a: Real
- b: Real
- gm: Real
Returns Real

ff

ff(p: Real, tt: Real, a: Real, b: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:496
Parameters
- p: Real
- tt: Real
- a: Real
- b: Real
- gm: Real
Returns Real

llold

llold(p: Real, tt: Real, a: Real, b: Real, c: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:525
Parameters
- p: Real
- tt: Real
- a: Real
- b: Real
- c: Real
- gm: Real
Returns Real

tvtl

tvtl(NU: Integer, limit: Real[], sigmarho: Real[], epsi: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:845
Parameters
- NU: Integer
- limit: Real[]
- sigmarho: Real[]
- epsi: Real
Returns Real

v

v(p: Real, tt: Real, a: Real, b: Real, gm: Real): Real

- Defined in ql/experimental/barrieroption/perturbativebarrieroptionengine.ts:511
Parameters
- p: Real
- tt: Real
- a: Real
- b: Real
- gm: Real
Returns Real