C# 클래스 CIRProcess.CIR

상속: IExtensibleProcessIR, IMarkovSimulator, IParsable, IEstimationResultPopulable, IGreeksDerivativesInfo, IExportableContainer

파일 보기 프로젝트 열기: fairmat/InterestRatesModels

공개 프로퍼티들

프로퍼티	타입	설명
k	IModelParameter
r0	IModelParameter
sigma	IModelParameter
theta	IModelParameter

공개 메소드들

메소드	설명
Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double s ) : double	Calculates the value of a Bond under the Cox-Ingersoll-Ross model.
CIR ( ) : System	Default constructor, sets all the values to a default of 0.001.
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
GetDeltaFactors ( ) : IModelParameter[]	Gets the factors for Delta Greek derivative.
GetVegaFactors ( ) : IModelParameter[]	Gets the factors for Vega Greek derivative.
Parse ( IProject context ) : bool	Ensure the parameters are correct.
Populate ( IStochasticProcess container, EstimationResult estimate ) : void	Populate editable fields from name and value vectors specific to the CIR process.
Setup ( double dates ) : void	Called by Simulator after parse. Calculates the variables d and nu for faster execution.
a ( int i, double x, double a ) : void	This function defines the drift in the Cox-Ingersoll-Ross Markov process. The formula to calculate the A component is A = k * (theta - max(previous state, 0)).
ab ( int i, double x, double a, double b ) : void	This function calculates the drift and the volatility in the Cox-Ingersoll-Ross Markov process. as A = k * (theta - max(previous state, 0)). B = sigma * sqrt(max(previous state, 0)).
b ( int i, double x, double b ) : void	This function defines the volatility in the Cox-Ingersoll-Ross Markov process. The formula to calculate the B component is B = sigma * sqrt(max(previous state, 0)).
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

비공개 메소드들

메소드	설명
SetParametersValue ( ) : void	Prepares the serialized model parameters with the provided values.

메소드 상세

Bond() 공개 메소드

Calculates the value of a Bond under the Cox-Ingersoll-Ross model.

public Bond ( IReadOnlyMatrixSlice dynamic, double dates, int i, double t, double s ) : double
dynamic	IReadOnlyMatrixSlice	/// The simulated process. ///
dates	double	/// The vector of reference dates. ///
i	int	/// The index at which the state variable must be sampled. ///
t	double	/// The date in years/fractions at at which the state variable must be sampled. ///
s	double	/// The maturity of the bond. ///
리턴	double

CIR() 공개 메소드

Default constructor, sets all the values to a default of 0.001.

public CIR ( ) : System
리턴	System

ExportObjects() 공개 메소드

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	/// The parameter is not used. ///
리턴	List

GetDeltaFactors() 공개 메소드

Gets the factors for Delta Greek derivative.

public GetDeltaFactors ( ) : IModelParameter[]
리턴	IModelParameter[]

GetVegaFactors() 공개 메소드

Gets the factors for Vega Greek derivative.

public GetVegaFactors ( ) : IModelParameter[]
리턴	IModelParameter[]

Parse() 공개 메소드

Ensure the parameters are correct.

public Parse ( IProject context ) : bool
context	IProject	/// The underlying project. ///
리턴	bool

Populate() 공개 메소드

Populate editable fields from name and value vectors specific to the CIR process.

public Populate ( IStochasticProcess container, EstimationResult estimate ) : void
container	IStochasticProcess	/// The stochastic process which is being referenced to. ///
estimate	EstimationResult	/// The estimation result which contains values and names of parameters. ///
리턴	void

Setup() 공개 메소드

Called by Simulator after parse. Calculates the variables d and nu for faster execution.

public Setup ( double dates ) : void
dates	double	The parameter is not used.
리턴	void

a() 공개 메소드

This function defines the drift in the Cox-Ingersoll-Ross Markov process. The formula to calculate the A component is A = k * (theta - max(previous state, 0)).

public a ( int i, double x, double a ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
a	double	The output of the function.
리턴	void

ab() 공개 메소드

This function calculates the drift and the volatility in the Cox-Ingersoll-Ross Markov process. as A = k * (theta - max(previous state, 0)). B = sigma * sqrt(max(previous state, 0)).

public ab ( int i, double x, double a, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
a	double
b	double	The output of the function.
리턴	void

b() 공개 메소드

This function defines the volatility in the Cox-Ingersoll-Ross Markov process. The formula to calculate the B component is B = sigma * sqrt(max(previous state, 0)).

public b ( int i, double x, double b ) : void
i	int	The parameter is not used.
x	double	The state vector at the previous state.
b	double	The output of the function.
리턴	void

isLog() 공개 메소드

Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process.

public isLog ( bool &isLog ) : void
isLog	bool	/// A reference to the array to be set with the required information. /// The array contains a single member set to false as this simulation /// is not log-normal. ///
리턴	void

프로퍼티 상세

k 공개적으로 프로퍼티

The k parameter of the model. It's the mean reversion speed.

public IModelParameter k
리턴	IModelParameter

r0 공개적으로 프로퍼티

The starting point for the model.

public IModelParameter r0
리턴	IModelParameter

sigma 공개적으로 프로퍼티

The sigma parameter of the model. It's the volatility.

public IModelParameter sigma
리턴	IModelParameter

theta 공개적으로 프로퍼티

The theta parameter of the model. It's the long term mean.

public IModelParameter theta
리턴	IModelParameter