C# 클래스 Heston.HestonCallSimulationOptimizationProblem

Calculates and minimize options prices differences by simulating Heston scenarios using Monte Carlo method.

상속: HestonEstimator.HestonCallOptimizationProblem

파일 보기 프로젝트 열기: fairmat/EquityModels

공개 메소드들

메소드	설명
HestonCallSimulationOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System
Obj ( DVPLI x ) : double

비공개 메소드들

메소드	설명
CallPrice ( Vector paths, double strike, double maturity ) : double
NewRandomNumbers ( ) : void	Generates (antithetic)random numbers for both components
PositivePartMean ( Vector input ) : double
PutPrice ( Vector paths, double strike, double maturity ) : double
SimulateScenariosCallback ( Vector paths, double s0, double v0, double kappa, double theta, double sigma, double rho, double horizon, int sp, int ep ) : void
SimulateScenariosCallback ( object context ) : void
SimulateScenariosMT ( double s0, double v0, double kappa, double theta, double sigma, double rho, double horizon ) : Vector[]	Generate Underlying scenarios.
SmoothedPositivePartMean ( Vector input ) : double

메소드 상세

HestonCallSimulationOptimizationProblem() 공개 메소드

public HestonCallSimulationOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System
equityCalData	EquityCalibrationData
matBound	Vector
strikeBound	Vector
리턴	System

Obj() 공개 메소드

public Obj ( DVPLI x ) : double
x	DVPLI
리턴	double