C# Class Dupire.DupireEstimator

Inheritance: IEstimatorEx, IIntegrable
Mostra file Open project: fairmat/EquityModels Class Usage Examples

Public Methods

Method Description
DupireEstimator ( ) : System
Estimate ( System marketData, IEstimationSettings settings = null, IController controller = null, object>.System properties = null ) : EstimationResult
GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]

Gets the types required by the estimator in order to work: InterestRateMarketData and CallPriceMarketData are the required types for this estimator.

Private Methods

Method Description
FairmatEstimate ( CurveMarketData discountingCurve, CallPriceMarketData Hdataset ) : EstimationResult
FitImplVolModel ( CallPriceMarketData Hdataset ) : IFunction

This method allows to fit the implied volatility using different models.
IIntegrable ( double x ) : double
LocVolMatrixFromCallPrices ( CallPriceMarketData Hdataset, CallPriceSurface CallPrice, Vector &locVolMat, Vector &locVolStr ) : System.Matrix
LocVolMatrixFromImpliedVol ( CallPriceMarketData Hdataset, IFunction impVol, Vector &locVolMat, Vector &locVolStr ) : System.Matrix
QuantLibEstimate ( CurveMarketData discoutingCurve, CallPriceMarketData Hdataset ) : EstimationResult

Method Details

DupireEstimator() public method

public DupireEstimator ( ) : System
return System

Estimate() public method

public Estimate ( System marketData, IEstimationSettings settings = null, IController controller = null, object>.System properties = null ) : EstimationResult
marketData System
settings IEstimationSettings
controller IController
properties object>.System
return EstimationResult

GetRequirements() public method

Gets the types required by the estimator in order to work: InterestRateMarketData and CallPriceMarketData are the required types for this estimator.
public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]
settings IEstimationSettings The parameter is not used.
query EstimateQuery The parameter is not used.
return EstimateRequirement[]