Class FlatVolFunctions

Namespace

NanoQL.Models

Assembly

NanoQL.dll

The flat-volatility model's covariance function.

public static class FlatVolFunctions

Inheritance

object

FlatVolFunctions

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

FlatVolCovariance(double, double, double, double, double, double)

The covariance over [t1, t2] of two rates with constant volatilities, each until its own fixing time: the time both are alive within the interval times the volatilities.

public static double FlatVolCovariance(double t1, double t2, double T, double S, double v1, double v2)

Parameters

t1 double

The interval's start.

t2 double

The interval's end, not before its start.

T double

The first rate's fixing time.

S double

The second rate's fixing time.

v1 double

The first rate's volatility.

v2 double

The second rate's volatility.

Returns

double

The covariance.

Exceptions

ArgumentException

The interval's bounds are in reverse order.