C# Class CIRProcess.CIRCap

Calculation of Cap price in the CIR model.

Datei anzeigen Open project: fairmat/InterestRatesModels Class Usage Examples

Public Methods

Method	Description
BondCall ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double	Calculates a call option on a bond.
BondPut ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double	Calculates a put option on a bond.
CIRCapMatrix ( Vector maturities, Vector strikes, double tau, double r0, Vector cirParameters ) : System.Matrix	Evaluates a cap matrix using specified parameters of CIR model.

Method Details

BondCall() public static method

Calculates a call option on a bond.

public static BondCall ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double
r0	double	The Zr evaluated in zero.
t	double	The valuation date (in years fractions).
T	double	The option exercise time to buy a bond with maturity S.
S	double	The maturity of the bound to buy.
X	double	The strike price.
cirParameters	Vector	/// A vector containing CIR model parameters k, theta, sigma. ///
return	double

BondPut() public static method

Calculates a put option on a bond.

public static BondPut ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double
r0	double	The Zr evaluated in zero.
t	double	The valuation date (in years fractions).
T	double	The option exercise time to buy a bond with maturity S.
S	double	The maturity of the bound to buy.
X	double	The strike price.
cirParameters	Vector	/// A vector containing CIR model parameters k, theta, sigma. ///
return	double

CIRCapMatrix() public static method

Evaluates a cap matrix using specified parameters of CIR model.

public static CIRCapMatrix ( Vector maturities, Vector strikes, double tau, double r0, Vector cirParameters ) : System.Matrix
maturities	Vector	Cap Matrix maturities.
strikes	Vector	Cap Matrix strikes.
tau	double	Cap tenor (inverse of number of caplets per year.
r0	double	ZR evaluated in 0.
cirParameters	Vector	Vector containing k, theta, sigma.
return	System.Matrix