Class euro_option_diff_Vasicek

java.lang.Object
  euro_option_diff_Vasicek

public class euro_option_diff_Vasicek
extends java.lang.Object

Field Summary

diff_Vasicek	bond
euro_opt_params	p

Constructor Summary

euro_option_diff_Vasicek()
Creates a new instance of euro_option_diff_Vasicek

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

euro_option_diff_Vasicek(double _O_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_Vasicek(double _O_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

p

public euro_opt_params p

bond

public diff_Vasicek bond

Constructor Detail

euro_option_diff_Vasicek

public euro_option_diff_Vasicek()

Creates a new instance of euro_option_diff_Vasicek

euro_option_diff_Vasicek

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

Creates a new instance of euro_option_diff_Vasicek

euro_option_diff_Vasicek

public euro_option_diff_Vasicek(double _O_maturity,
                                double _face,
                                double _stk,
                                double _time,
                                double _mu,
                                double _alpha,
                                double _sigma,
                                double _r)

Method Detail

set_euro_option_diff_Vasicek

public void set_euro_option_diff_Vasicek(double _O_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)