C# Class Dupire.DupireProcess

Inheritance: IExtensibleProcess, IParsable, IMarkovSimulator, IEstimationResultPopulable

Exibir arquivo Open project: fairmat/EquityModels Class Usage Examples

Public Methods

Method	Description
DupireProcess ( ) : System
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
Parse ( IProject context ) : bool	Parses the process (in this case nothing has to be done).
Populate ( IStochasticProcess container, EstimationResult estimate ) : void
Setup ( double simulationDates ) : void	Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.
a ( int i, double x, double a ) : void
ab ( int i, double x, double a, double b ) : void
b ( int i, double x, double b ) : void
isLog ( bool &isLog ) : void	Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process. In this case it's a log-normal process so the first component is set to true.

Private Methods

Method	Description
RetrieveCurve ( IProject p_Context, bool errors ) : bool	Retrieves zr and dy curve from the model.

Method Details

DupireProcess() public method

public DupireProcess ( ) : System
return	System

ExportObjects() public method

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	The parameter is not used.
return	List

Parse() public method

Parses the process (in this case nothing has to be done).

public Parse ( IProject context ) : bool
context	IProject	The project representing the context of the parsing.
return	bool

Populate() public method

public Populate ( IStochasticProcess container, EstimationResult estimate ) : void
container	IStochasticProcess
estimate	EstimationResult
return	void

Setup() public method

Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.

public Setup ( double simulationDates ) : void
simulationDates	double	/// The dates at which the process realizations will be requested. ///
return	void

a() public method

public a ( int i, double x, double a ) : void
i	int
x	double
a	double
return	void

ab() public method

public ab ( int i, double x, double a, double b ) : void
i	int
x	double
a	double
b	double
return	void

b() public method

public b ( int i, double x, double b ) : void
i	int
x	double
b	double
return	void

isLog() public method

Sets the passed array with a Boolean stating if the process must be simulated as a log-normal process. In this case it's a log-normal process so the first component is set to true.

public isLog ( bool &isLog ) : void
isLog	bool	/// A reference to the array to be set with the required information. ///
return	void