C# Class QLNet.CoxIngersollRoss

Inheritance: OneFactorAffineModel

显示文件 Open project: ammachado/QLNet

Public Methods

Method	Description
CoxIngersollRoss ( ) : System
CoxIngersollRoss ( double r0 ) : System
CoxIngersollRoss ( double r0, double theta ) : System
CoxIngersollRoss ( double r0, double theta, double k ) : System
CoxIngersollRoss ( double r0, double theta, double k, double sigma ) : System
discountBondOption ( Option type, double strike, double maturity, double bondMaturity ) : double
dynamics ( ) : ShortRateDynamics
tree ( TimeGrid grid ) : Lattice

Protected Methods

Method	Description
A ( double t, double T ) : double
B ( double t, double T ) : double
k ( ) : double
sigma ( ) : double
theta ( ) : double
x0 ( ) : double

Method Details

A() protected method

protected A ( double t, double T ) : double
t	double
T	double
return	double

B() protected method

protected B ( double t, double T ) : double
t	double
T	double
return	double

CoxIngersollRoss() public method

public CoxIngersollRoss ( ) : System
return	System

CoxIngersollRoss() public method

public CoxIngersollRoss ( double r0 ) : System
r0	double
return	System

CoxIngersollRoss() public method

public CoxIngersollRoss ( double r0, double theta ) : System
r0	double
theta	double
return	System

CoxIngersollRoss() public method

public CoxIngersollRoss ( double r0, double theta, double k ) : System
r0	double
theta	double
k	double
return	System

CoxIngersollRoss() public method

public CoxIngersollRoss ( double r0, double theta, double k, double sigma ) : System
r0	double
theta	double
k	double
sigma	double
return	System

discountBondOption() public method

public discountBondOption ( Option type, double strike, double maturity, double bondMaturity ) : double
type	Option
strike	double
maturity	double
bondMaturity	double
return	double

dynamics() public method

public dynamics ( ) : ShortRateDynamics
return	ShortRateDynamics

k() protected method

protected k ( ) : double
return	double

sigma() protected method

protected sigma ( ) : double
return	double

theta() protected method

protected theta ( ) : double
return	double

tree() public method

public tree ( TimeGrid grid ) : Lattice
grid	TimeGrid
return	Lattice

x0() protected method

protected x0 ( ) : double
return	double