C# (CSharp) GBM.FunctionParamPiecewiseConstant示例

示例#1

文件： HestonEstimator.cs 项目： jayhsieh/EquityModels

        internal static IFunction IstantaneousDividendYield(EquityCalibrationData ecd)
        {
            double support = Math.Min(6, Math.Max(2, (ecd.dyFunc as PFunction).Support[Range.End]));

            var avgDy = new GBM.FunctionParamPiecewiseConstant(support, 0);//positive f.

            (avgDy as GBM.FunctionParamBase).FitToMean(ecd.dyFunc, 0, support);
            return(avgDy);
        }

示例#2

文件： HestonEstimator.cs 项目： fairmat/EquityModels

        internal static IFunction IstantaneousDividendYield(EquityCalibrationData ecd)
        {
            double support = Math.Min(6, Math.Max(2, (ecd.dyFunc as PFunction).Support[Range.End]));

            var avgDy = new GBM.FunctionParamPiecewiseConstant(support, 0);//positive f.
            (avgDy as GBM.FunctionParamBase).FitToMean(ecd.dyFunc, 0, support);
            return avgDy;
        }