C# 클래스 Dupire.DupireEstimator

상속: IEstimatorEx, IIntegrable
파일 보기 프로젝트 열기: fairmat/EquityModels 1 사용 예제들

공개 메소드들

메소드 설명
DupireEstimator ( ) : System
Estimate ( System marketData, IEstimationSettings settings = null, IController controller = null, object>.System properties = null ) : EstimationResult
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.

비공개 메소드들

메소드 설명
FairmatEstimate ( CurveMarketData discountingCurve, CallPriceMarketData Hdataset ) : EstimationResult
FitImplVolModel ( CallPriceMarketData Hdataset ) : IFunction

This method allows to fit the implied volatility using different models.
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

메소드 상세

DupireEstimator() 공개 메소드

public DupireEstimator ( ) : System
리턴 System

Estimate() 공개 메소드

public Estimate ( System marketData, IEstimationSettings settings = null, IController controller = null, object>.System properties = null ) : EstimationResult
marketData System
settings IEstimationSettings
controller IController
properties object>.System
리턴 EstimationResult

GetRequirements() 공개 메소드

Gets the types required by the estimator in order to work: InterestRateMarketData and CallPriceMarketData are the required types for this estimator.
public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]
settings IEstimationSettings The parameter is not used.
query EstimateQuery The parameter is not used.
리턴 EstimateRequirement[]