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Class Summary |
| bond_CIR |
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| bond_Interface |
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| bond_Main |
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| bond_Vasicek |
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| diff_CIR |
CIR interest rate model in differential form, where
r is the short term risk free rate of return,
dt is the time step differential,
r is pulled back to the mu-level at a rate of alpha,
a represents the function a(r)=alpha(mu-r) used in
the SDEIntegrator. |
| diff_RB |
Rendleman and Barter interest rate model in differential form,
where:
r is the short term risk free rate of return,
dt is the time step differential,
r is pulled back to the mu-level at a rate of alpha,
a represents the function a(r)=mu*r used in
the SDEIntegrator. |
| diff_Vasicek |
Vasicek interest rate model in differential form, where
r is the short term risk free rate of return,
dt is the time step differential,
r is pulled back to the mu-level at a rate of alpha,
a represents the function a(r)=alpha(mu-r) used in
the SDEIntegrator. |
| euro_opt_params |
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| euro_option_diff_CIR |
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| euro_option_diff_RB |
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| euro_option_diff_Vasicek |
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| euro_option_Vasicek |
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| Pair |
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| PlotPanel |
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| SDEIntegrator |
Integrates the stochastic equation:
dX = a(X) dt + b(X) dW
up to order 4, using the Ito-Taylor scheme and strong convergence. |