C# 클래스 VarianceGamma.VarianceGammaOptimizationProblem

Describes the Variance Gamma Optimization problem.

상속: IOptimizationProblem

공개 메소드들

메소드	설명
G ( Vector x ) : Vector	This method is unused but part of the interface.
Grad ( Vector x ) : Vector	This method is unused but part of the interface.
Obj ( Vector x ) : double	Calibration objective function.
VGDiff ( Vector x, double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : double	Returns the root mean square error between market and model call prices
VarianceGammaOptimizationProblem ( double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : System	Initializes a new instance of the VarianceGammaOptimizationProblem class.

This method is unused but part of the interface.

/// The exception is always thrown upon calling this method. ///

This method is unused but part of the interface.

/// The exception is always thrown upon calling this method. ///

Calibration objective function.

Returns the root mean square error between market and model call prices

public static VGDiff ( Vector x, double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : double
x	Vector	Parameter vector
q	double	Dividend yield
s0	double	Index starting value
k	Vector	Call strike vector
r	double	Short rate
cp	System.Matrix	Call price matrix
m	Vector	Call maturity vector
리턴	double

Initializes a new instance of the VarianceGammaOptimizationProblem class.

public VarianceGammaOptimizationProblem ( double q, double s0, Vector k, double r, System.Matrix cp, Vector m ) : System
q	double	The dividend yield.
s0	double	The actual value of stock.
k	Vector	The strike Prices (unrolled).
r	double	The risk free rate.
cp	System.Matrix	The observed call prices (unrolled).
m	Vector	The Maturities (unrolled).
리턴	System