| 프로퍼티 | 타입 | 설명 | |
|---|---|---|---|
| r0 | double |
| 메소드 | 설명 | |
|---|---|---|
| CapCIROptimizationProblem ( InterestRateMarketData irmd ) : System |
Constructor for the Cox-Ingersoll-Ross Calibration Problem based on caps matrices, using an InterestRateMarketData to derive the required data.
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| CapCIROptimizationProblem ( System.Matrix blackCaps, Vector capMaturity, Vector capRate, double tau, double r0 ) : System |
Constructor for the Cox-Ingersoll-Ross Calibration problem based on caps matrices.
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| G ( DVPLI x ) : DVPLI.Vector |
This method is unused but part of the interface.
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| Grad ( DVPLI x ) : DVPLI.Vector |
This method is unused but part of the interface.
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| Obj ( DVPLI x ) : double |
Calibration objective function: squared difference between black caps and Cox-Ingersoll-Ross caps.
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| public CapCIROptimizationProblem ( InterestRateMarketData irmd ) : System | ||
| irmd | InterestRateMarketData |
/// An |
| 리턴 | System | |
| public CapCIROptimizationProblem ( System.Matrix blackCaps, Vector capMaturity, Vector capRate, double tau, double r0 ) : System | ||
| blackCaps | System.Matrix | A Blacks caps matrix to use. |
| capMaturity | Vector | Vector of cap maturities. |
| capRate | Vector | Vector of cap strikes. |
| tau | double | Cap tenor. |
| r0 | double | /// The starting value of the process usually the zero rate evaluated in 0. /// |
| 리턴 | System | |
| public Grad ( DVPLI x ) : DVPLI.Vector | ||
| x | DVPLI | The parameter is not used. |
| 리턴 | DVPLI.Vector | |
| public Obj ( DVPLI x ) : double | ||
| x | DVPLI | /// The tested [kappa, theta, sigma] vector. /// |
| 리턴 | double | |