C# Class QLNet.AffineModel

Inheritance: IObservable

Mostra file Open project: ammachado/QLNet

Public Methods

Method	Description
discount ( double t ) : double
discountBond ( double now, double maturity, Vector factors ) : double
discountBondOption ( Option type, double strike, double maturity, double bondMaturity ) : double

Method Details

discount() public abstract method

public abstract discount ( double t ) : double
t	double
return	double

discountBond() public abstract method

public abstract discountBond ( double now, double maturity, Vector factors ) : double
now	double
maturity	double
factors	Vector
return	double

discountBondOption() public abstract method

public abstract discountBondOption ( Option type, double strike, double maturity, double bondMaturity ) : double
type	Option
strike	double
maturity	double
bondMaturity	double
return	double