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Pelsser
SquaredGaussianModel
SquaredGaussianModel
Pelsser.SquaredGaussianModel.SquaredGaussianModel C# (CSharp) Method
SquaredGaussianModel Class Documentation
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Open project: fairmat/InterestRatesModels
SquaredGaussianModel()
public
method
Default constructor. Builds a new SquaredGaussianModel with these default values: * sigma = 0.06. * lambda = 0.4. * alpha = 0.09. * no zero rate reference.
public
SquaredGaussianModel
( ) :
System
return
System
public SquaredGaussianModel() : this(0.06, 0.0, 0.09, string.Empty) { }
Same methods
SquaredGaussianModel::
SquaredGaussianModel
(
double
sigma
,
double
lambda
,
double
a1
,
string
zeroRateReference
) :
System
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