C# Class VarianceGamma.VarianceGammaOptimizationProblem

Describes the Variance Gamma Optimization problem.
Inheritance: IOptimizationProblem
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Public Methods

Method Description
G ( Vector x ) : Vector

This method is unused but part of the interface.
Grad ( Vector x ) : Vector

This method is unused but part of the interface.
Obj ( Vector x ) : double

Calibration objective function.
VGDiff ( Vector x, double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : double

Returns the root mean square error between market and model call prices
VarianceGammaOptimizationProblem ( double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : System

Initializes a new instance of the VarianceGammaOptimizationProblem class.

Method Details

G() public method

This method is unused but part of the interface.
/// The exception is always thrown upon calling this method. ///
public G ( Vector x ) : Vector
x Vector The parameter is not used.
return Vector

Grad() public method

This method is unused but part of the interface.
/// The exception is always thrown upon calling this method. ///
public Grad ( Vector x ) : Vector
x Vector The parameter is not used.
return Vector

Obj() public method

Calibration objective function.
public Obj ( Vector x ) : double
x Vector /// The vector of parameters. ///
return double

VGDiff() public static method

Returns the root mean square error between market and model call prices
public static VGDiff ( Vector x, double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : double
x Vector Parameter vector
q double Dividend yield
s0 double Index starting value
k Vector Call strike vector
r double Short rate
cp System.Matrix Call price matrix
m Vector Call maturity vector
return double

VarianceGammaOptimizationProblem() public method

Initializes a new instance of the VarianceGammaOptimizationProblem class.
public VarianceGammaOptimizationProblem ( double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : System
q double The dividend yield.
s0 double The actual value of stock.
k Vector The strike Prices (unrolled).
r double The risk free rate.
cp System.Matrix The observed call prices (unrolled).
m Vector The Maturities (unrolled).
return System