C# Class QLNet.Vasicek

Inheritance: OneFactorAffineModel
Datei anzeigen 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_oe property

protected Parameter,QLNet a_
return QLNet.Parameter

b_ protected_oe property

protected Parameter,QLNet b_
return QLNet.Parameter

lambda_ protected_oe property

protected Parameter,QLNet lambda_
return QLNet.Parameter

r0_ protected_oe property

protected double r0_
return double

sigma_ protected_oe property

protected Parameter,QLNet sigma_
return QLNet.Parameter