Pelsser.SquaredGaussianModel.CalculateGamma C# (CSharp) Method

SquaredGaussianModel Class Documentation Show file Open project: fairmat/InterestRatesModels

CalculateGamma() public method

This will simply calculate the gamma factor used in the Pelsser formulation and set the relative temporary variable.

Gamma = sqrt(a^2 + 2 * sigma^2).

public CalculateGamma ( ) : void
return	void

        public void CalculateGamma()
        {
            this.gamma = Math.Sqrt(this.alpha1Temp * this.alpha1Temp + 2 * this.sigma1Temp * this.sigma1Temp);
        }

SquaredGaussianModel

AlphaT

BSingle

Bond

CalculateGamma

CalculateValueForCache

ExportObjects

GetDeltaFactors

GetVegaFactors

GetZeroRateReference

Int

Mu0

OnDeserialized

Parse

Populate

SIG

SetZeroRateReference

Setup

SquaredGaussianModel

Transform

isLog