C# Класс Dupire.DupireEstimator

Наследование: IEstimatorEx, IIntegrable
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Открытые методы

Метод Описание
DupireEstimator ( ) : System
Estimate ( System marketData, IEstimationSettings settings = null, IController controller = null, object>.System properties = null ) : EstimationResult
GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]

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

Приватные методы

Метод Описание
FairmatEstimate ( CurveMarketData discountingCurve, CallPriceMarketData Hdataset ) : EstimationResult
FitImplVolModel ( CallPriceMarketData Hdataset ) : IFunction

This method allows to fit the implied volatility using different models.
IIntegrable ( double x ) : double
LocVolMatrixFromCallPrices ( CallPriceMarketData Hdataset, CallPriceSurface CallPrice, Vector &locVolMat, Vector &locVolStr ) : System.Matrix
LocVolMatrixFromImpliedVol ( CallPriceMarketData Hdataset, IFunction impVol, Vector &locVolMat, Vector &locVolStr ) : System.Matrix
QuantLibEstimate ( CurveMarketData discoutingCurve, CallPriceMarketData Hdataset ) : EstimationResult

Описание методов

DupireEstimator() публичный Метод

public DupireEstimator ( ) : System
Результат System

Estimate() публичный Метод

public Estimate ( System marketData, IEstimationSettings settings = null, IController controller = null, object>.System properties = null ) : EstimationResult
marketData System
settings IEstimationSettings
controller IController
properties object>.System
Результат EstimationResult

GetRequirements() публичный Метод

Gets the types required by the estimator in order to work: InterestRateMarketData and CallPriceMarketData are the required types for this estimator.
public GetRequirements ( IEstimationSettings settings, EstimateQuery query ) : EstimateRequirement[]
settings IEstimationSettings The parameter is not used.
query EstimateQuery The parameter is not used.
Результат EstimateRequirement[]