Exemplos de QLNet Utils.sabrVolatility em C# (CSharp)

Exemplo n.º 1

Arquivo: SABRInterpolation.cs Projeto: igitur/qlnet

        public double volatility(double x)
        {
            switch (volatilityType_)
            {
            case VolatilityType.ShiftedLognormal:
                return(Utils.shiftedSabrVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value, shift_.Value, approximationModel_));

            case VolatilityType.Normal:
                return(Utils.shiftedSabrNormalVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value, shift_.Value));

            default:
                return(Utils.sabrVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value));
            }
        }

Exemplo n.º 2

 public double volatility(double x)
 {
     return(Utils.sabrVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value));
 }