C# Класс HullAndWhiteTwoFactors.HW2Context

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Защищенные методы

Метод	Описание
BHat ( double t, double s, double dt ) : double	Bhat function, needed for bond calculation. See HW1994.
CHat ( double t, double s, double dt, double bHat ) : double	CHat function, needed for bond calculation. See HW1994.
Chat ( double t, double s, double dt ) : double	Chat function, needed for bond calculation. See HW1994.
Eta ( double t, double s ) : double	Implements the function Eta. See HW1994.

Описание методов

BHat() защищенный Метод

Bhat function, needed for bond calculation. See HW1994.

protected BHat ( double t, double s, double dt ) : double
t	double	The valuation date.
s	double	The maturity.
dt	double	The delta between this t position and the previous one.
Результат	double

CHat() защищенный Метод

CHat function, needed for bond calculation. See HW1994.

protected CHat ( double t, double s, double dt, double bHat ) : double
t	double	The valuation date.
s	double	The maturity.
dt	double	/// The difference between one approximated time steps and the previous one. ///
bHat	double	The pre-calculated value of method Bhat.
Результат	double

Chat() защищенный Метод

Chat function, needed for bond calculation. See HW1994.

protected Chat ( double t, double s, double dt ) : double
t	double	The valuation date.
s	double	The maturity.
dt	double	/// The difference between one approximated time steps and the previous one. ///
Результат	double

Eta() защищенный Метод

Implements the function Eta. See HW1994.

protected Eta ( double t, double s ) : double
t	double	The valuation date.
s	double	The maturity date.
Результат	double