C# Class Dupire.DupireProcess

Inheritance: IExtensibleProcess, IParsable, IMarkovSimulator, IEstimationResultPopulable

Afficher le fichier Open project: fairmat/EquityModels Class Usage Examples

Méthodes publiques

Méthode	Description
DupireProcess ( ) : System
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
Parse ( IProject context ) : bool	Parses the process (in this case nothing has to be done).
Populate ( IStochasticProcess container, EstimationResult estimate ) : void
Setup ( double simulationDates ) : void	Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.
a ( int i, double x, double a ) : void
ab ( int i, double x, double a, double b ) : void
b ( int i, double x, double b ) : void
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process. In this case it's a log-normal process so the first component is set to true.

Private Methods

Méthode	Description
RetrieveCurve ( IProject p_Context, bool errors ) : bool	Retrieves zr and dy curve from the model.

Method Details

DupireProcess() public méthode

public DupireProcess ( ) : System
Résultat	System

ExportObjects() public méthode

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	The parameter is not used.
Résultat	List

Parse() public méthode

Parses the process (in this case nothing has to be done).

public Parse ( IProject context ) : bool
context	IProject	The project representing the context of the parsing.
Résultat	bool

Populate() public méthode

public Populate ( IStochasticProcess container, EstimationResult estimate ) : void
container	IStochasticProcess
estimate	EstimationResult
Résultat	void

Setup() public méthode

Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.

public Setup ( double simulationDates ) : void
simulationDates	double	/// The dates at which the process realizations will be requested. ///
Résultat	void

a() public méthode

public a ( int i, double x, double a ) : void
i	int
x	double
a	double
Résultat	void

ab() public méthode

public ab ( int i, double x, double a, double b ) : void
i	int
x	double
a	double
b	double
Résultat	void

b() public méthode

public b ( int i, double x, double b ) : void
i	int
x	double
b	double
Résultat	void

isLog() public méthode

Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process. In this case it's a log-normal process so the first component is set to true.

public isLog ( bool &isLog ) : void
isLog	bool	/// A reference to the array to be set with the required information. ///
Résultat	void