Метод | Описание | |
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A ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double |
Calculates the function A() to be used in the Bond() method.
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ForwardSwapRate ( double t, Vector T ) : double |
Calculates the forward swap rate.
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Func ( Vector x ) : double |
Function to be used in the FSolve() problem of HWSwaption() method. This is a version done to double check the HW Swaption, with dt fixed to 0.001.
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HWSwaption ( double a, double sigma, double l, double k, double T, Vector s ) : double |
Price of a swaption in HW1 model: the holder has the right to pay the fixed rate and receive floating rate. This is a different version of the main one to do a double check of the swaption.
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HWSwaption ( double a, double sigma, double l, double k, double swaptionMaturity, double swapDuration, double deltaK ) : double | ||
HWSwaptionMatrix ( Vector swaptionMaturity, Vector swapDuration, double a, double sigma, double deltaK ) : System.Matrix |
Calculates a matrix of swaption prices within Hull-White model.
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SwaptionHW1 ( System.Function zeroratecurve ) : System |
Initializes a new instance of the HullAndWhiteOneFactor.SwaptionHW1 class.
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ZCBPut ( double a, double sigma, double L, double K, double T, double s ) : double |
Calculates the value of a put option on a zero coupon bond.
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alphaTFunc ( double t ) : double |
Calculation of alpha function
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Метод | Описание | |
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AlphaInt ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double |
Calculates the integral of alpha function to be used in the A() method.
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B ( double T, double alpha ) : double |
Calculates the function B() to be used in the Bond() method.
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F ( double t, double dt ) : double |
Numerically calculates the instantaneous forward rate.
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H ( double a, double sigma, double L, double K, double T, double s ) : double |
Calculates H() function to be used in ZCBPut() method.
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HWBond ( double a, double sigma, double r, Vector T, double t ) : Vector |
Calculates a vector of zero coupon bond prices (discount factors) within the Hull-White model. This is a version done to double check the HW swaption.
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PZC ( double t ) : double |
Helper function to make functions easier to read. Just returns the value of the discount factor at position t. This is calculated with e^(-ZR(t)*t).
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SigmaP ( double a, double sigma, double T, double s ) : double |
Calculates SigmaP() function to be used in ZCBPut() method.
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ZR ( double k ) : double |
Helper function to make functions easier to read. Just returns the value of the zero rate at position k.
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public static A ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double | ||
t | double | /// The time at which the Bond price will be calculated. /// |
T | double | /// The bond maturity. /// |
alpha | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
zeroRateCurve | System.Function | /// Zero rate curve. /// |
Результат | double |
public ForwardSwapRate ( double t, Vector T ) : double | ||
t | double | /// The swap starting time. /// |
T | Vector | /// The vector of swap payment times. /// |
Результат | double |
public Func ( Vector x ) : double | ||
x | Vector | /// Vector of length 1 representing the variable on which the FSolve problem is performed. /// |
Результат | double |
public HWSwaption ( double a, double sigma, double l, double k, double T, Vector s ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
l | double | /// The Notional. /// |
k | double | /// The Strike. /// |
T | double | /// The maturity. /// |
s | Vector | /// Vector of swaption payment dates. /// |
Результат | double |
public HWSwaption ( double a, double sigma, double l, double k, double swaptionMaturity, double swapDuration, double deltaK ) : double | ||
a | double | |
sigma | double | |
l | double | |
k | double | |
swaptionMaturity | double | |
swapDuration | double | |
deltaK | double | |
Результат | double |
public HWSwaptionMatrix ( Vector swaptionMaturity, Vector swapDuration, double a, double sigma, double deltaK ) : System.Matrix | ||
swaptionMaturity | Vector | /// Vector of swaption maturity. /// |
swapDuration | Vector | /// Vector of swap duration. /// |
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
deltaK | double | /// Time interval between swap coupon expressed in year fraction. /// |
Результат | System.Matrix |
public SwaptionHW1 ( System.Function zeroratecurve ) : System | ||
zeroratecurve | System.Function | /// The zero-rate curve reference for the model. /// |
Результат | System |
public ZCBPut ( double a, double sigma, double L, double K, double T, double s ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
L | double | /// Zero coupon notional. /// |
K | double | /// Bond rate. /// |
T | double | /// The maturity of the option. /// |
s | double | /// The maturity of the bond. /// |
Результат | double |
public alphaTFunc ( double t ) : double | ||
t | double | Time at which calculate the alpha function |
Результат | double |