C# Класс CIRProcess.CIRCap

Calculation of Cap price in the CIR model.
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Открытые методы

Метод Описание
BondCall ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double

Calculates a call option on a bond.

BondPut ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double

Calculates a put option on a bond.

CIRCapMatrix ( Vector maturities, Vector strikes, double tau, double r0, Vector cirParameters ) : System.Matrix

Evaluates a cap matrix using specified parameters of CIR model.

Описание методов

BondCall() публичный статический Метод

Calculates a call option on a bond.
public static BondCall ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double
r0 double The Zr evaluated in zero.
t double The valuation date (in years fractions).
T double The option exercise time to buy a bond with maturity S.
S double The maturity of the bound to buy.
X double The strike price.
cirParameters Vector /// A vector containing CIR model parameters k, theta, sigma. ///
Результат double

BondPut() публичный статический Метод

Calculates a put option on a bond.
public static BondPut ( double r0, double t, double T, double S, double X, Vector cirParameters ) : double
r0 double The Zr evaluated in zero.
t double The valuation date (in years fractions).
T double The option exercise time to buy a bond with maturity S.
S double The maturity of the bound to buy.
X double The strike price.
cirParameters Vector /// A vector containing CIR model parameters k, theta, sigma. ///
Результат double

CIRCapMatrix() публичный статический Метод

Evaluates a cap matrix using specified parameters of CIR model.
public static CIRCapMatrix ( Vector maturities, Vector strikes, double tau, double r0, Vector cirParameters ) : System.Matrix
maturities Vector Cap Matrix maturities.
strikes Vector Cap Matrix strikes.
tau double Cap tenor (inverse of number of caplets per year.
r0 double ZR evaluated in 0.
cirParameters Vector Vector containing k, theta, sigma.
Результат System.Matrix