MonteCarlo Class

Constructor without parameters. Acceleration is disabled.

Constructor that defines which greeks should be saved for fast recomputation. Note that at each query for any of saveable greeks all of them will be computed if needed.

Number of basis functions for least square approximation.

Charm, or delta decay, measures the instantaneous rate of change of delta over the passage of time.

Color, or gamma decay, measures the rate of change of gamma over the passage of time.

Delta measures the rate of change of option value with respect to changes in the underlying asset's price.

Exercise payout function for custom option style.

Expected return of the underlying asset. Used for geometric brownian price model.

Gamma measures the rate of change in the delta with respect to changes in the underlying price.

Next price function. Used for custom price model.

Next volatility function. Used for custom price model.

Option style.

Type of option.

Price model used for price paths generation.

Number of price paths.

Random generator used for prices paths generation.

Rho, the derivative of the option value with respect to the risk free rate.

Speed measures the rate of change in Gamma with respect to changes in the underlying price.

Number of time steps.

Stock price of the underlying asset.

Strike price of the underlying asset.

Theta measures the sensitivity of the value of the derivative to the passage of time: the "time decay".

Time to the expiration date measured in years.

Value of the option.

Vanna, the second derivative of the option value with respect to the volatility.

Vega, the derivative of the option value with respect to the volatility of the underlying asset.

Volatility of the underlying asset.

Zomma measures the rate of change of gamma with respect to changes in volatility.

Determines whether the specified object is equal to the current object.

Get annual dividend yield.

Serves as the default hash function.

Get risk-free interest rate.

Gets the Type of the current instance.

Initializes object by option parameters.

Forces to compute value of option using new prices paths.

Sets acceleration granularity. Clears all computed values.

Changes acceleration RAM usage. Clears all computed values.

Set annual dividend yield (e.g. value 0.02 means that yearly dividends income equals to 2 % of the underlying asset stock price). All computed values are forgotten after this change.

Sets custom option payout function. This function is used if and only if option style is OptionStyle.Other. Clears all computed values.

Sets custom price model functions. This functions are used if and only if price model is PriceModel.Other. Clears all computed values.

Set risk-free interest rate (e.g. value 0.02 means that yearly risk-free income equals to 2 % of initial money amount if there is no capitalization of interest). All computed values are forgotten after this change.

Sets custom expected return for geometric brownian price model. Clears all computed values.

Returns a string that represents the current object.

Updates option parameters.

Updates option parameters.

Updates option parameters.

Updates option parameters.

Updates option parameters.

Updates option parameters.

Updates option parameters.