C# Class Pelsser.Calibration.Caplet

Caplet prices using Pelsser Squared Gaussian model.

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Public Methods

Method	Description
PGSMCaplets ( SquaredGaussianModel model, Vector mat, Vector fwd, Vector rk, double deltaK, Vector tOss ) : System.Matrix	Caplet prices calculated as a put on a zero coupon bond.

Private Methods

Method	Description
CtT ( SquaredGaussianModel model, double t, Vector mat ) : Vector	Calculates the integral C(t, T) function with T taking every element of the parameter mat.

Method Details

PGSMCaplets() public method

Caplet prices calculated as a put on a zero coupon bond.

public PGSMCaplets ( SquaredGaussianModel model, Vector mat, Vector fwd, Vector rk, double deltaK, Vector tOss ) : System.Matrix
model	Pelsser.SquaredGaussianModel	The model to use to execute the calculation.
mat	Vector	/// Caplet maturity. This vector starts from zero and increases /// of step DeltaK each element till the last one. ///
fwd	Vector	Forward with the deltaK step.
rk	Vector	Strike vector (columns).
deltaK	double	Amount to use as increase factor.
tOss	Vector	The Maturities.
return	System.Matrix