Pelsser.SquaredGaussianModel.SquaredGaussianModel C# (CSharp) Method

SquaredGaussianModel Class Documentation Show file 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

AlphaT

BSingle

Bond

CalculateGamma

CalculateValueForCache

ExportObjects

GetDeltaFactors

GetVegaFactors

GetZeroRateReference

Int

Mu0

OnDeserialized

Parse

Populate

SIG

SetZeroRateReference

Setup

SquaredGaussianModel

Transform

isLog