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Pelsser
SquaredGaussianModel
b
Pelsser.SquaredGaussianModel.b C# (CSharp) Method
SquaredGaussianModel Class Documentation
Datei anzeigen
Open project: fairmat/InterestRatesModels
b()
public
method
This function defines the volatility in the Pelsser Markov process. The formula to calculate the B component is B = sigma.
public
b
(
int
i
,
double
x
,
double
b
) :
void
i
int
The parameter is not used.
x
double
The parameter is not used.
b
double
The output of the function.
return
void
public unsafe void b(int i, double* x, double* b) { b[0] = this.sigma1Temp; }
SquaredGaussianModel
A
AlphaT
B
BSingle
Bond
C
CalculateGamma
CalculateValueForCache
D
ExportObjects
F
F2
GetDeltaFactors
GetVegaFactors
GetZeroRateReference
Int
Mu0
OnDeserialized
Parse
Populate
SIG
SetZeroRateReference
Setup
SquaredGaussianModel
Transform
ZR
a
ab
b
f
isLog
va
vb