C# Class QLNet.LmLinearExponentialVolatilityModel

Inheritance: QLNet.LmVolatilityModel
Exibir arquivo Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method Description
LmLinearExponentialVolatilityModel ( List fixingTimes, double a, double b, double c, double d ) : System
generateArguments ( ) : void
integratedVariance ( int i, int j, double u ) : double
integratedVariance ( int i, int j, double u, Vector x ) : double
volatility ( double t ) : Vector
volatility ( double t, Vector x ) : Vector
volatility ( int i, double t ) : double
volatility ( int i, double t, Vector x ) : double

Method Details

LmLinearExponentialVolatilityModel() public method

public LmLinearExponentialVolatilityModel ( List fixingTimes, double a, double b, double c, double d ) : System
fixingTimes List
a double
b double
c double
d double
return System

generateArguments() public method

public generateArguments ( ) : void
return void

integratedVariance() public method

public integratedVariance ( int i, int j, double u ) : double
i int
j int
u double
return double

integratedVariance() public method

public integratedVariance ( int i, int j, double u, Vector x ) : double
i int
j int
u double
x Vector
return double

volatility() public method

public volatility ( double t ) : Vector
t double
return Vector

volatility() public method

public volatility ( double t, Vector x ) : Vector
t double
x Vector
return Vector

volatility() public method

public volatility ( int i, double t ) : double
i int
t double
return double

volatility() public method

public volatility ( int i, double t, Vector x ) : double
i int
t double
x Vector
return double