webcab.lib.finance.options.exotic
Class ExoticOptionsConstants

java.lang.Object
  |
  +--webcab.lib.finance.options.exotic.ExoticOptionsConstants

public final class ExoticOptionsConstants

extends Object

This class defines constants used by the Exotic Options classes methods.

Field Summary

static int	AMERICAN This constant identifies American style options.
static int	ASIAN_ARITHMETIC This constant identifies Asian options with arithmetic average.
static int	ASIAN_GEOMETRIC This constant identifies Asian options with geometric average.
static int	BEAR This constant identifies a bear spread (a strategy that benefits from a falling market)
static int	BT_DIRICHLET This constant must be returned by the method type() of your implementation of the boundary conditions (in the current implementation, only Dirichlet-type boundary conditions can be supplied by the user).
static int	BT_SECOND_ORDER The method type() of the class SecondOrderBoundaries returns this constant.
static int	BULL This constant identifies a bull spread (a strategy that benefits from a rising market)
static int	CALL This constant identifies Call options
static int	CRANCK_NICHOLSON This constant identifies the Cranck-Nicholson finite differencing algorithm
static int	EUROPEAN This constant identifies European style options.
static int	EXPLICIT This constant identifies the explicit finite differencing algorithm
static int	FULLY_IMPLICIT This constant identifies the fully implicit finite differencing algorithm
static int	LONG This constant identifies a long position (that is buying the underlying)
static int	LOOKBACK_MAX This constant identifies lookback options, with the maximum asset price realized from inception date until expiry as path dependent value.
static int	LOOKBACK_MIN This constant identifies lookback options, with the minimum asset price realized from inception date until expiry as path dependent value.
static int	NON_SPD This constant identifies non strogly path dependent options (vanilla options).
static int	PUT This constant identifies Put options
static int	RATE This constant identifies a rate option (applies only to Asian and Lookback options) Another name for rate options is price options.
static int	SHORT This constant identifies a short position (that is selling the underlying)
static int	STRIKE This constant identifies a strike option (applies only to Asian and Lookback options) Lookback strike options are known also as floating strike lookback options.

Constructor Summary

ExoticOptionsConstants()

Methods inherited from class java.lang.Object

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

Field Detail

CALL

public static final int CALL

This constant identifies Call options

See Also:

Constant Field Values

PUT

public static final int PUT

This constant identifies Put options

See Also:

Constant Field Values

LONG

public static final int LONG

This constant identifies a long position (that is buying the underlying)

See Also:

Constant Field Values

SHORT

public static final int SHORT

This constant identifies a short position (that is selling the underlying)

See Also:

Constant Field Values

STRIKE

public static final int STRIKE

This constant identifies a strike option (applies only to Asian and Lookback options) Lookback strike options are known also as floating strike lookback options.

See Also:

Constant Field Values

RATE

public static final int RATE

This constant identifies a rate option (applies only to Asian and Lookback options) Another name for rate options is price options. Lookback rate (price) options are called also strike lookback options

See Also:

Constant Field Values

BULL

public static final int BULL

This constant identifies a bull spread (a strategy that benefits from a rising market)

See Also:

Constant Field Values

BEAR

public static final int BEAR

This constant identifies a bear spread (a strategy that benefits from a falling market)

See Also:

Constant Field Values

BT_DIRICHLET

public static final int BT_DIRICHLET

This constant must be returned by the method type() of your implementation of the boundary conditions (in the current implementation, only Dirichlet-type boundary conditions can be supplied by the user).

See Also:

Constant Field Values

BT_SECOND_ORDER

public static final int BT_SECOND_ORDER

The method type() of the class SecondOrderBoundaries returns this constant. You will never need to use it.

See Also:

Constant Field Values

EUROPEAN

public static final int EUROPEAN

This constant identifies European style options.

See Also:

Constant Field Values

AMERICAN

public static final int AMERICAN

This constant identifies American style options.

See Also:

Constant Field Values

ASIAN_ARITHMETIC

public static final int ASIAN_ARITHMETIC

This constant identifies Asian options with arithmetic average.

See Also:

Constant Field Values

ASIAN_GEOMETRIC

public static final int ASIAN_GEOMETRIC

This constant identifies Asian options with geometric average.

See Also:

Constant Field Values

LOOKBACK_MAX

public static final int LOOKBACK_MAX

This constant identifies lookback options, with the maximum asset price realized from inception date until expiry as path dependent value.

See Also:

Constant Field Values

LOOKBACK_MIN

public static final int LOOKBACK_MIN

This constant identifies lookback options, with the minimum asset price realized from inception date until expiry as path dependent value.

See Also:

Constant Field Values

NON_SPD

public static final int NON_SPD

This constant identifies non strogly path dependent options (vanilla options).

See Also:

Constant Field Values

EXPLICIT

public static final int EXPLICIT

This constant identifies the explicit finite differencing algorithm

See Also:

Constant Field Values

FULLY_IMPLICIT

public static final int FULLY_IMPLICIT

This constant identifies the fully implicit finite differencing algorithm

See Also:

Constant Field Values

CRANCK_NICHOLSON

public static final int CRANCK_NICHOLSON

This constant identifies the Cranck-Nicholson finite differencing algorithm

See Also:

Constant Field Values

Constructor Detail

ExoticOptionsConstants

public ExoticOptionsConstants()