Свойство | Тип | Описание | |
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useBoundPenalty | bool | ||
useFellerPenalty | bool |
Свойство | Тип | Описание | |
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callWeight | System.Matrix | ||
cpmd | CallPriceMarketData | ||
dividendYield | Vector | ||
k1 | double | ||
k2 | double | ||
matBound | Vector | ||
numCall | int | ||
numPut | int | ||
putWeight | System.Matrix | ||
rate | Vector | ||
s0 | double | ||
smallValue | double | ||
strike | Vector | ||
strikeBound | Vector | ||
totalVolume | double | ||
v0Max | double | ||
v0Min | double | ||
vLastMin | double |
Метод | Описание | |
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G ( DVPLI x ) : DVPLI.Vector |
This method is unused but part of the interface.
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Grad ( DVPLI x ) : DVPLI.Vector |
This method is unused but part of the interface.
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HestonCallOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System |
Initializes a new instance of the HestonCallOptimizationProblem class using the EquityCalibrationData data structure.
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Obj ( DVPLI x ) : double |
Calibration objective function.
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Метод | Описание | |
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FellerPenalty ( Vector x ) : double |
Penalty function in order to satisfy Feller condition: 2k theta >= sigma^2
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Метод | Описание | |
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BoundPenalty ( Vector x ) : double |
Penalty function relative to bounds.
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CalculateSingleRow ( object context ) : void |
Calculates a single row of the objective function. Basically options with the same maturity and different strikes.
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CalculateSingleRowWithInterpolation ( object context ) : void |
Calculates call put prices for several strikes using controlled interpolation.
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CalculateWeight ( double volume ) : double |
Allows different specification of call/put weighting
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FindExtremes ( Vector vector, Vector bounds ) : int[] |
Finds the couple of integer {i,j} so that the values vector[i], vector[i+1],..., vector[j-1], vector[j] are all included in the interval (bound[0], bound[1]) while vector[i-1] and vector[j+1] are not.
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HestonCallOptimizationProblem ( System.Matrix callMarketPrice, Vector maturity, Vector strike, Vector rate, Vector dividendYield, double s0, Vector matBound, Vector strikeBound ) : System | ||
PutCallTest ( ) : void |
Test method, displays a sensitivity on heston call and put prices.
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SetVariables ( System.Matrix callMarketPrice, Vector maturity, Vector strike, Vector rate, Vector dividendYield, double s0 ) : void |
Sets several variables used to solve the optimization problem.
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protected FellerPenalty ( Vector x ) : double | ||
x | Vector | /// Vector of parameters: x=[k, theta, sigma,...] /// |
Результат | double |
public G ( DVPLI x ) : DVPLI.Vector | ||
x | DVPLI | The parameter is not used. |
Результат | DVPLI.Vector |
public Grad ( DVPLI x ) : DVPLI.Vector | ||
x | DVPLI | The parameter is not used. |
Результат | DVPLI.Vector |
public HestonCallOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System | ||
equityCalData | EquityCalibrationData | /// An EquityCalibrationData object containing market data for calibration. /// |
matBound | Vector | /// A vector containing the minimum and maximum values /// for maturities to be used in calibration. /// |
strikeBound | Vector | /// A vector containing the minimum and maximum values /// for strikes to be used in calibration. /// |
Результат | System |
public Obj ( DVPLI x ) : double | ||
x | DVPLI | /// The vector of parameters. /// |
Результат | double |