C# Class QLNet.LmLinearExponentialVolatilityModel

Inheritance: QLNet.LmVolatilityModel

Show file Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
LmLinearExponentialVolatilityModel ( List fixingTimes, double a, double b, double c, double d ) : System
generateArguments ( ) : void
integratedVariance ( int i, int j, double u ) : double
integratedVariance ( int i, int j, double u, Vector x ) : double
volatility ( double t ) : Vector
volatility ( double t, Vector x ) : Vector
volatility ( int i, double t ) : double
volatility ( int i, double t, Vector x ) : double

Method Details

LmLinearExponentialVolatilityModel() public method

public LmLinearExponentialVolatilityModel ( List fixingTimes, double a, double b, double c, double d ) : System
fixingTimes	List
a	double
b	double
c	double
d	double
return	System

generateArguments() public method

public generateArguments ( ) : void
return	void

integratedVariance() public method

public integratedVariance ( int i, int j, double u ) : double
i	int
j	int
u	double
return	double

integratedVariance() public method

public integratedVariance ( int i, int j, double u, Vector x ) : double
i	int
j	int
u	double
x	Vector
return	double

volatility() public method

public volatility ( double t ) : Vector
t	double
return	Vector

volatility() public method

public volatility ( double t, Vector x ) : Vector
t	double
x	Vector
return	Vector

volatility() public method

public volatility ( int i, double t ) : double
i	int
t	double
return	double

volatility() public method

public volatility ( int i, double t, Vector x ) : double
i	int
t	double
x	Vector
return	double