C# Class QLNet.VanillaOption

Inheritance: OneAssetOption

ファイルを表示 Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
VanillaOption ( StrikedTypePayoff payoff, Exercise exercise ) : System
impliedVolatility ( double targetValue, QLNet.GeneralizedBlackScholesProcess process, double accuracy, int maxEvaluations, double minVol, double maxVol ) : double

Method Details

VanillaOption() public method

public VanillaOption ( StrikedTypePayoff payoff, Exercise exercise ) : System
payoff	StrikedTypePayoff
exercise	Exercise
return	System

impliedVolatility() public method

public impliedVolatility ( double targetValue, QLNet.GeneralizedBlackScholesProcess process, double accuracy, int maxEvaluations, double minVol, double maxVol ) : double
targetValue	double
process	QLNet.GeneralizedBlackScholesProcess
accuracy	double
maxEvaluations	int
minVol	double
maxVol	double
return	double