C# (CSharp) Pelsser.Calibration Namespace

Сlasses

Name Description
Caplet Caplet prices using Pelsser Squared Gaussian model.
Caplet.Context Keeps the data of a context for this caplet calibrator and provides helpers to handle these data fields.
CapletEstimator
CapletRealWordEstimator
PelsserCappletOptimizationProblem Describes the optimization problem.
TestPelsserBondPut
TestPelsserCaplet