Class euro_option_diff_CIR

java.lang.Object
  euro_option_diff_CIR

public class euro_option_diff_CIR
extends java.lang.Object

Field Summary

diff_CIR

bond

Constructor Summary

euro_option_diff_CIR()
Creates a new instance of euro_option_diff_CIR

euro_option_diff_CIR(double _m, double _p, double _s)
Creates a new instance of euro_option_diff_CIR

euro_option_diff_CIR(double _maturity, double _face, double _stk, double _time, double _mu, double _alpha, double _sigma, double _r)

Method Summary

double	calculate_call_aver(int n_sim, int n_points)
double	calculate_call(DataCurve data)
double	calculate_put_aver(int n_sim, int n_points)
double	calculate_put(DataCurve data)
static void	main(java.lang.String[] args)
void	set_euro_option_diff_CIR(double _maturity, double _face, double _stk, double _time, double _mu, double _alpha, double _sigma, double _r)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

bond

public diff_CIR bond

Constructor Detail

euro_option_diff_CIR

public euro_option_diff_CIR()

Creates a new instance of euro_option_diff_CIR

euro_option_diff_CIR

public euro_option_diff_CIR(double _m,
                            double _p,
                            double _s)

Creates a new instance of euro_option_diff_CIR

euro_option_diff_CIR

public euro_option_diff_CIR(double _maturity,
                            double _face,
                            double _stk,
                            double _time,
                            double _mu,
                            double _alpha,
                            double _sigma,
                            double _r)

Method Detail

set_euro_option_diff_CIR

public void set_euro_option_diff_CIR(double _maturity,
                                     double _face,
                                     double _stk,
                                     double _time,
                                     double _mu,
                                     double _alpha,
                                     double _sigma,
                                     double _r)

calculate_call_aver

public double calculate_call_aver(int n_sim,
                                  int n_points)

calculate_call

public double calculate_call(DataCurve data)

calculate_put_aver

public double calculate_put_aver(int n_sim,
                                 int n_points)

calculate_put

public double calculate_put(DataCurve data)

main

public static void main(java.lang.String[] args)