IBM InfoSphere Streams Version 4.1.1

Operator AmericanOptionValue

SPL standard and specialized toolkits > com.ibm.streams.financial 2.0.0 > com.ibm.streams.financial.analytics.option > AmericanOptionValue

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The AmericanOptionValue type-specific operator is for computing the value of "American-style" options. American-style options can be exercised at any time between their purchase date and their expiration date.

The source code for the AmericanOptionValue operator can be found in the $STREAMS_INSTALL/toolkits/com.ibm.streams.financial/com.ibm.streams.financial/analytics/option directory of your installed environment.

Summary

Ports
This operator has 1 input port and 1 output port.
Windowing
This operator does not accept any windowing configurations.
Parameters
This operator supports 2 parameters.

Required: valuationMethod

Optional: dateOverride

Metrics
This operator does not report any metrics.

Properties

Implementation
C++
Threading
Always - Operator always provides a single threaded execution context.

Input Ports

Ports (0)
Properties

Output Ports

Assignments
This operator does not allow assignments to output attributes.
Ports (0)

Properties

Parameters

This operator supports 2 parameters.
valuationMethod
This mandatory parameter tells the operator what algorithm to use to compute the option value. The following values are supported for this parameter:
  • BaroneAdesiWhaley:

    Computes the value of an American option according to the BaroneAdesiWhaleyApproximationEngine class in QuantLib.

  • BjerksundStensland:

    Computes the value of an American option according to the BjerksundStenslandApproximationEngine class in QuantLib.

  • FiniteDifferences:

    Computes the value of an American option according to the FDAmericanEngine class in QuantLib.

  • BinomialJarrowRudd:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of JarrowRudd in QuantLib.

  • BinomialCoxRossRubinstein:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of CoxRossRubinstein in QuantLib.

  • AdditiveEquiprobabilities:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of AdditiveEQPBinomialTree in QuantLib.

  • BinomialTrigeorgis:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of Trigeorgis in QuantLib.

  • BinomialTian:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of Tian in QuantLib.

  • BinomialLeisenReimer:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of LeisenReimer in QuantLib.

  • BinomialJoshi:

    Computes the value of an American option according to the BinomialVanillaEngine class by using the lattice method class of Joshi4 in QuantLib.

  • MonteCarloLongstaffSchwartz:

    Computes the value of an American option according to the MakeMCAmericanEngine class in QuantLib by using PseudoRandom as its random number generator.

Properties
  • Type: valuationMethods (BaroneAdesiWhaley, BjerksundStensland, FiniteDifferences, BinomialJarrowRudd, BinomialCoxRossRubinstein, AdditiveEquiprobabilities, BinomialTrigeorgis, BinomialTian, BinomialLeisenReimer, BinomialJoshi, MonteCarloLongstaffSchwartz)
  • Cardinality: 1
  • Optional: false
  • ExpressionMode: CustomLiteral

dateOverride

This optional parameter tells the operator to assume that the date today is something different from the actual date. This parameter is needed only when historical data is being used by an application. If the application is tied to a live feed, do not use this parameter.

Properties

Libraries

QuantLib
Library Name: QuantLib
Library Path: ../../../../impl/lib
Include Path: ../../../../impl/include