Ejemplos de QLNet Utils.sviTotalVariance en C# (CSharp)

Ejemplo n.º 1

        protected override double volatilityImpl(double strike)
        {
            double k             = Math.Log(Math.Max(strike, 1E-6) / forward_);
            double totalVariance = Utils.sviTotalVariance(param_[0], param_[1], param_[2],
                                                          param_[3], param_[4], k);

            return(Math.Sqrt(Math.Max(0.0, totalVariance / exerciseTime())));
        }