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C# Class HestonEstimator.HestonCallOptimizationProblem

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

Méthodes publiques

Свойство	Type	Description
useBoundPenalty	bool
useFellerPenalty	bool

Protected Properties

Свойство	Type	Description
callWeight	System.Matrix
cpmd	CallPriceMarketData
dividendYield	Vector
k1	double
k2	double
matBound	Vector
numCall	int
numPut	int
putWeight	System.Matrix
rate	Vector
s0	double
smallValue	double
strike	Vector
strikeBound	Vector
totalVolume	double
v0Max	double
v0Min	double
vLastMin	double

Méthodes publiques

Méthode	Description
G ( DVPLI x ) : DVPLI.Vector	This method is unused but part of the interface.
Grad ( DVPLI x ) : DVPLI.Vector	This method is unused but part of the interface.
HestonCallOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System	Initializes a new instance of the HestonCallOptimizationProblem class using the EquityCalibrationData data structure.
Obj ( DVPLI x ) : double	Calibration objective function.

Méthodes protégées

Méthode	Description
FellerPenalty ( Vector x ) : double	Penalty function in order to satisfy Feller condition: 2k theta >= sigma^2

Private Methods

Méthode	Description
BoundPenalty ( Vector x ) : double	Penalty function relative to bounds.
CalculateSingleRow ( object context ) : void	Calculates a single row of the objective function. Basically options with the same maturity and different strikes.
CalculateSingleRowWithInterpolation ( object context ) : void	Calculates call put prices for several strikes using controlled interpolation.
CalculateWeight ( double volume ) : double	Allows different specification of call/put weighting
FindExtremes ( Vector vector, Vector bounds ) : int[]	Finds the couple of integer {i,j} so that the values vector[i], vector[i+1],..., vector[j-1], vector[j] are all included in the interval (bound[0], bound[1]) while vector[i-1] and vector[j+1] are not.
HestonCallOptimizationProblem ( System.Matrix callMarketPrice, Vector maturity, Vector strike, Vector rate, Vector dividendYield, double s0, Vector matBound, Vector strikeBound ) : System
PutCallTest ( ) : void	Test method, displays a sensitivity on heston call and put prices.
SetVariables ( System.Matrix callMarketPrice, Vector maturity, Vector strike, Vector rate, Vector dividendYield, double s0 ) : void	Sets several variables used to solve the optimization problem.

Method Details

Property Details