Méthode | Description | |
---|---|---|
BHat ( double t, double s, double dt ) : double |
Bhat function, needed for bond calculation. See HW1994.
|
|
CHat ( double t, double s, double dt, double bHat ) : double |
CHat function, needed for bond calculation. See HW1994.
|
|
Chat ( double t, double s, double dt ) : double |
Chat function, needed for bond calculation. See HW1994.
|
|
Eta ( double t, double s ) : double |
Implements the function Eta. See HW1994.
|
protected BHat ( double t, double s, double dt ) : double | ||
t | double | The valuation date. |
s | double | The maturity. |
dt | double | The delta between this t position and the previous one. |
Résultat | double |
protected CHat ( double t, double s, double dt, double bHat ) : double | ||
t | double | The valuation date. |
s | double | The maturity. |
dt | double | /// The difference between one approximated time steps and the previous one. /// |
bHat | double | The pre-calculated value of method Bhat. |
Résultat | double |
protected Chat ( double t, double s, double dt ) : double | ||
t | double | The valuation date. |
s | double | The maturity. |
dt | double | /// The difference between one approximated time steps and the previous one. /// |
Résultat | double |
protected Eta ( double t, double s ) : double | ||
t | double | The valuation date. |
s | double | The maturity date. |
Résultat | double |