C# Class QLNet.Vasicek

Inheritance: OneFactorAffineModel

Show file Open project: ammachado/QLNet

Protected Properties

Property	Type	Description
a_	QLNet.Parameter
b_	QLNet.Parameter
lambda_	QLNet.Parameter
r0_	double
sigma_	QLNet.Parameter

Public Methods

Method	Description
Vasicek ( ) : System
Vasicek ( double r0 ) : System
Vasicek ( double r0, double a ) : System
Vasicek ( double r0, double a, double b ) : System
Vasicek ( double r0, double a, double b, double sigma, double lambda ) : System
discountBondOption ( Option type, double strike, double maturity, double bondMaturity ) : double
dynamics ( ) : ShortRateDynamics

Protected Methods

Method	Description
A ( double t, double T ) : double
B ( double t, double T ) : double
a ( ) : double
b ( ) : double
lambda ( ) : double
sigma ( ) : double

Method Details

A() protected method

protected A ( double t, double T ) : double
t	double
T	double
return	double

B() protected method

protected B ( double t, double T ) : double
t	double
T	double
return	double

Vasicek() public method

public Vasicek ( ) : System
return	System

Vasicek() public method

public Vasicek ( double r0 ) : System
r0	double
return	System

Vasicek() public method

public Vasicek ( double r0, double a ) : System
r0	double
a	double
return	System

Vasicek() public method

public Vasicek ( double r0, double a, double b ) : System
r0	double
a	double
b	double
return	System

Vasicek() public method

public Vasicek ( double r0, double a, double b, double sigma, double lambda ) : System
r0	double
a	double
b	double
sigma	double
lambda	double
return	System

a() protected method

protected a ( ) : double
return	double

b() protected method

protected b ( ) : double
return	double

discountBondOption() public method

public discountBondOption ( Option type, double strike, double maturity, double bondMaturity ) : double
type	Option
strike	double
maturity	double
bondMaturity	double
return	double

dynamics() public method

public dynamics ( ) : ShortRateDynamics
return	ShortRateDynamics

lambda() protected method

protected lambda ( ) : double
return	double

sigma() protected method

protected sigma ( ) : double
return	double

Property Details

a_ protected property

protected Parameter,QLNet a_
return	QLNet.Parameter

b_ protected property

protected Parameter,QLNet b_
return	QLNet.Parameter

lambda_ protected property

protected Parameter,QLNet lambda_
return	QLNet.Parameter

r0_ protected property

protected double r0_
return	double

sigma_ protected property

protected Parameter,QLNet sigma_
return	QLNet.Parameter