C# 클래스 VarianceGamma.VarianceGammaOptionsCalibration

상속: IEstimator, IDescription

파일 보기 프로젝트 열기: fairmat/EquityModels 1 사용 예제들

공개 메소드들

메소드	설명
Estimate ( List	Attempts to solve the Variance Gamma Optimization problem using Heston.VarianceGammaOptimizationProblem.
GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]	Gets the types required by the estimator in order to work: EquitySpotMarketData and CallPriceMarketData are the required type for this estimator.
VGCall ( double theta, double sigma, double nu, double t, double k, double q, double s0, double r ) : double	Calculate the price of a call option. Notation and formulas follow Whitley A. "Pricing of European, Bermudan and American Options under the Exponential Variance Gamma Process" (2009) apart from a correction in the last line where we substituted q (dividend yield) in place of r (risk free rate).

비공개 메소드들

메소드	설명
BesselI ( double nu, double z ) : double	Calculates the modified Bessel function of the first kind
BesselK ( double nu, double z ) : double	Calculates the modified Bessel function of the second kind
CH ( double a, double b, double c, double x, double y ) : double	Calculates the confluent hypergeometric function of two variables
Factorial ( int n ) : double	Simple wrapper for the Fairmat provided factorial function.
Gamma ( double z ) : double	Simple wrapper for the Fairmat provided Gamma function. It handles some special cases required by Variance Gamma.
Psi ( double a, double b, double c ) : double	Psi function that enters in the call price formula Notation and formulas follow Whitley A. "Pricing of European, Bermudan and American Options under the Exponential Variance Gamma Process" (2009)

메소드 상세

Estimate() 공개 메소드

Attempts to solve the Variance Gamma Optimization problem using Heston.VarianceGammaOptimizationProblem.

public Estimate ( List
data	List	/// The data to be used in order to perform the optimization. ///
settings	IEstimationSettings	The parameter is not used.
controller	IController
properties	object>.Dictionary
리턴	EstimationResult

GetRequirements() 공개 메소드

Gets the types required by the estimator in order to work: EquitySpotMarketData and CallPriceMarketData are the required type for this estimator.

public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]
settings	IEstimationSettings	The parameter is not used.
query	EstimateQuery
리턴	EstimateRequirement[]

VGCall() 공개 정적인 메소드

Calculate the price of a call option. Notation and formulas follow Whitley A. "Pricing of European, Bermudan and American Options under the Exponential Variance Gamma Process" (2009) apart from a correction in the last line where we substituted q (dividend yield) in place of r (risk free rate).

public static VGCall ( double theta, double sigma, double nu, double t, double k, double q, double s0, double r ) : double
theta	double	VG theta parameter
sigma	double	VG sigma parameter
nu	double	VG nu parameter
t	double	Call maturity
k	double	Call strike
q	double	Dividend yield
s0	double	Process starting value
r	double	Risk free rate
리턴	double