C# Class HullAndWhiteTwoFactors.HW2Context

Show file Open project: fairmat/InterestRatesModels Class Usage Examples

Protected Methods

Method	Description
BHat ( double t, double s, double dt ) : double	Bhat function, needed for bond calculation. See HW1994.
CHat ( double t, double s, double dt, double bHat ) : double	CHat function, needed for bond calculation. See HW1994.
Chat ( double t, double s, double dt ) : double	Chat function, needed for bond calculation. See HW1994.
Eta ( double t, double s ) : double	Implements the function Eta. See HW1994.

Method Details

BHat() protected method

Bhat function, needed for bond calculation. See HW1994.

protected BHat ( double t, double s, double dt ) : double
t	double	The valuation date.
s	double	The maturity.
dt	double	The delta between this t position and the previous one.
return	double

CHat() protected method

CHat function, needed for bond calculation. See HW1994.

protected CHat ( double t, double s, double dt, double bHat ) : double
t	double	The valuation date.
s	double	The maturity.
dt	double	/// The difference between one approximated time steps and the previous one. ///
bHat	double	The pre-calculated value of method Bhat.
return	double

Chat() protected method

Chat function, needed for bond calculation. See HW1994.

protected Chat ( double t, double s, double dt ) : double
t	double	The valuation date.
s	double	The maturity.
dt	double	/// The difference between one approximated time steps and the previous one. ///
return	double

Eta() protected method

Implements the function Eta. See HW1994.

protected Eta ( double t, double s ) : double
t	double	The valuation date.
s	double	The maturity date.
return	double