C# Class QLNet.LfmCovarianceProxy

Inheritance: QLNet.LfmCovarianceParameterization

Afficher le fichier Open project: ammachado/QLNet Class Usage Examples

Méthodes publiques

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

Méthodes publiques

Méthode	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 méthode

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

correlationModel() public méthode

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

covariance() public méthode

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

diffusion() public méthode

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

diffusion() public méthode

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

integratedCovariance() public méthode

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

integratedCovariance() public méthode

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

volatilityModel() public méthode

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

Property Details

corrModel public_oe property

public LmCorrelationModel,QLNet corrModel
Résultat	QLNet.LmCorrelationModel

corrModel_ public_oe property

public LmCorrelationModel,QLNet corrModel_
Résultat	QLNet.LmCorrelationModel

volaModel public_oe property

public LmVolatilityModel,QLNet volaModel
Résultat	QLNet.LmVolatilityModel

volaModel_ public_oe property

public LmVolatilityModel,QLNet volaModel_
Résultat	QLNet.LmVolatilityModel