C# Class QLNet.LfmCovarianceProxy

Inheritance: QLNet.LfmCovarianceParameterization

Mostrar archivo Open project: ammachado/QLNet Class Usage Examples

Public Properties

Property	Type	Description
corrModel	QLNet.LmCorrelationModel
corrModel_	QLNet.LmCorrelationModel
volaModel	QLNet.LmVolatilityModel
volaModel_	QLNet.LmVolatilityModel

Public Methods

Method	Description
LfmCovarianceProxy ( QLNet.LmVolatilityModel volaModel, QLNet.LmCorrelationModel corrModel ) : System
correlationModel ( ) : QLNet.LmCorrelationModel
covariance ( double t, Vector x ) : Matrix
diffusion ( double t ) : Matrix
diffusion ( double t, Vector x ) : Matrix
integratedCovariance ( int i, int j, double t ) : double
integratedCovariance ( int i, int j, double t, Vector x ) : double
volatilityModel ( ) : QLNet.LmVolatilityModel

Method Details

LfmCovarianceProxy() public method

public LfmCovarianceProxy ( QLNet.LmVolatilityModel volaModel, QLNet.LmCorrelationModel corrModel ) : System
volaModel	QLNet.LmVolatilityModel
corrModel	QLNet.LmCorrelationModel
return	System

correlationModel() public method

public correlationModel ( ) : QLNet.LmCorrelationModel
return	QLNet.LmCorrelationModel

covariance() public method

public covariance ( double t, Vector x ) : Matrix
t	double
x	Vector
return	Matrix

diffusion() public method

public diffusion ( double t ) : Matrix
t	double
return	Matrix

diffusion() public method

public diffusion ( double t, Vector x ) : Matrix
t	double
x	Vector
return	Matrix

integratedCovariance() public method

public integratedCovariance ( int i, int j, double t ) : double
i	int
j	int
t	double
return	double

integratedCovariance() public method

public integratedCovariance ( int i, int j, double t, Vector x ) : double
i	int
j	int
t	double
x	Vector
return	double

volatilityModel() public method

public volatilityModel ( ) : QLNet.LmVolatilityModel
return	QLNet.LmVolatilityModel

Property Details

corrModel public_oe property

public LmCorrelationModel,QLNet corrModel
return	QLNet.LmCorrelationModel

corrModel_ public_oe property

public LmCorrelationModel,QLNet corrModel_
return	QLNet.LmCorrelationModel

volaModel public_oe property

public LmVolatilityModel,QLNet volaModel
return	QLNet.LmVolatilityModel

volaModel_ public_oe property

public LmVolatilityModel,QLNet volaModel_
return	QLNet.LmVolatilityModel