priceCalculatorSettings
Simon Cramer edited this page Dec 11, 2018
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1 revision
| element | type | required | optional |
|---|---|---|---|
| priceCalculatorClass | one of ("PriceCalculatorHarras", "PriceCalculatorHarrasMult", "PriceCalculatorHarrasAdd", "PriceCalculatorGeneral", "PriceCalculatorBisection", "PriceCalculatorCross", "PriceCalculatorCrossMartingale", "PriceCalculatorLLS", "PriceCalculatorLLSNoise") | no | |
| fFunction | block | PriceCalculatorGeneral | no |
| gFunction | block | PriceCalculatorGeneral | no |
| marketDepth | float | PriceCalculatorHarras and PriceCalculatorGeneral | no |
| epsilon | float | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise | no |
| maxIterations | int | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise | no |
| adaptive | bool | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise | yes (default= false) |
| deviationLow | float | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise, adaptive=true | no |
| deviationHigh | float | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise, adaptive=true | no |
| lowerBound | float | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise, adaptive=false | no |
| upperBound | float | PriceCalculatorBisection, PriceCalculatorLLS, PriceCalculatorLLSNoise, adaptive=false | no |
| theta | float | PriceCalculatorCross | no |
| mu | float | PriceCalculatorFW | no |
| mean | float | PriceCalculatorLLSNoise | no |
| sigma float | PriceCalculatorLLSNoise | no |
Every option for PriceCalculatorBisection also applies for PriceCalculatorLLS.
| element | type | optional |
|---|---|---|
| kind | one of ("FConstant", "FLinear", "FHarras") | no |
| constant | float | mandatory if kind == "FConstant" or kind == "FLinear", ignored otherwise. |
| element | type | optional |
|---|---|---|
| kind | one of ("GConstant", "GLinear") | no |
| constant | float | no |