Method | Description | |
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DupireEstimator ( ) : System | ||
Estimate ( System | ||
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.
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Method | Description | |
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FairmatEstimate ( CurveMarketData discountingCurve, CallPriceMarketData Hdataset ) : EstimationResult | ||
FitImplVolModel ( CallPriceMarketData Hdataset ) : IFunction |
This method allows to fit the implied volatility using different models.
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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 |
public Estimate ( System | ||
marketData | System | |
settings | IEstimationSettings | |
controller | IController | |
properties | object>.System | |
return | EstimationResult |
public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[] | ||
settings | IEstimationSettings | The parameter is not used. |
query | EstimateQuery | The parameter is not used. |
return | EstimateRequirement[] |