FinMath.Derivatives Namespace |
Classes| Class | Description | |
|---|---|---|
 | Binomial |
Implementation of binomial options pricing model.
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| BlackScholes |
Implementation of Black-Scholes options pricing model
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| MonteCarlo |
Implementation of Monte-Carlo methods for option valuation.
Custom option style and price model are feasible.
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| OptionValuation |
Basic properties of option calculators.
http://en.wikipedia.org/wiki/Greeks_(finance)
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Structures| Structure | Description | |
|---|---|---|
 | Dividend |
Dividend of the underlying asset.
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Delegates| Delegate | Description | |
|---|---|---|
 | MonteCarloExercisePayout |
Delegate type for calculating payout of option in case of exercise after timeToMaturity*continuations/steps time.
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| MonteCarloNextPrice | Delegate type for sampling asset price change during timeStep time. |
| MonteCarloNextVolatility | Delegate type for sampling asset volatility in timeStep time. |
Enumerations| Enumeration | Description | |
|---|---|---|
 | OptionStyle |
Option style.
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| OptionType |
Type of option.
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| OptionValuationModelInputs |
Enum used to specify set of option input parameters.
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| OptionValuationModelOutputs |
Enum used to specify set of option output parameters.
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| PriceModel |
Underlying asset price model.
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