Method | Description | |
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CapHW1 ( System.Function zeroratecurve ) : System |
Initializes a new instance of the HullAndWhiteOneFactor.CapHW1 class.
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D1 ( double a, double sigma, double T, double s, double K ) : double |
Calculates d1 factor to be used in pricing formulas.
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D2 ( double a, double sigma, double T, double s, double K ) : double |
Calculates d2 factor to be used in pricing formulas.
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HWCap ( double a, double sigma, double K, double deltaK, double T ) : double |
Calculates the price of a cap within the Hull-White model.
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HWCaplet ( double a, double sigma, double T, double s, double K ) : double |
Calculates the price of a single caplet within the Hull-White model.
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HWMatrixCaps ( Vector capMaturity, Vector capRate, double a, double sigma, double deltaK ) : System.Matrix |
Calculates a matrix of cap prices within the Hull-White model.
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Method | Description | |
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HWFloor ( double a, double sigma, double K, double deltaK, double T ) : double |
Calculates the price of a floor within the Hull-White model.
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HWFloorlet ( double a, double sigma, double T, double s, double K ) : double |
Calculates the price of a single floorlet within the Hull-White model.
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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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SigP ( double a, double sigma, double T, double s ) : double |
Calculate the volatility term to be used in Hull-White pricing formula.
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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 CapHW1 ( System.Function zeroratecurve ) : System | ||
zeroratecurve | System.Function | /// The zero-rate curve reference for the model. /// |
return | System |
public D1 ( double a, double sigma, double T, double s, double K ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
T | double | /// Reset date. /// |
s | double | /// Maturity date. /// |
K | double | /// Strike rate. /// |
return | double |
public D2 ( double a, double sigma, double T, double s, double K ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
T | double | /// Reset date. /// |
s | double | /// Maturity date. /// |
K | double | /// Strike rate. /// |
return | double |
public HWCap ( double a, double sigma, double K, double deltaK, double T ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
K | double | /// Strike rate. /// |
deltaK | double | /// Time period between caplets expressed in year fraction. /// |
T | double | /// Cap maturity. /// |
return | double |
public HWCaplet ( double a, double sigma, double T, double s, double K ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
T | double | /// Caplet reset date. /// |
s | double | /// Caplet payment date. /// |
K | double | /// Strike rate. /// |
return | double |
public HWMatrixCaps ( Vector capMaturity, Vector capRate, double a, double sigma, double deltaK ) : System.Matrix | ||
capMaturity | Vector | /// Vector of cap maturities. /// |
capRate | Vector | /// Vector of cap strikes. /// |
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
deltaK | double | /// Time period between caplets expressed in year fraction. /// |
return | System.Matrix |