| public HestonCallOptimizationProblem ( EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound ) : System | ||
| equityCalData | EquityCalibrationData | /// An EquityCalibrationData object containing market data for calibration. /// |
| matBound | Vector | /// A vector containing the minimum and maximum values /// for maturities to be used in calibration. /// |
| strikeBound | Vector | /// A vector containing the minimum and maximum values /// for strikes to be used in calibration. /// |
| return | System | |
public HestonCallOptimizationProblem(EquityCalibrationData equityCalData, Vector matBound, Vector strikeBound)
{
this.cpmd = equityCalData.Hdata;
this.matBound = matBound;
this.strikeBound = strikeBound;
SetVariables(equityCalData.Hdata.CallPrice, equityCalData.Hdata.Maturity,
equityCalData.Hdata.Strike, equityCalData.CallMatrixRiskFreeRate,
equityCalData.CallMatrixDividendYield, equityCalData.Hdata.S0);
displayObjInfo = false;
}
| HestonCallOptimizationProblem::HestonCallOptimizationProblem ( System.Matrix callMarketPrice, Vector maturity, Vector strike, Vector rate, Vector dividendYield, double s0, Vector matBound, Vector strikeBound ) : System |
