computeATMBlackVolatility(double, double, double) | | 0% | | 0% | 4 | 4 | 11 | 11 | 1 | 1 |
Gaussian(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) | | 0% | | n/a | 1 | 1 | 4 | 4 | 1 | 1 |
Lognormal(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) | | 0% | | n/a | 1 | 1 | 4 | 4 | 1 | 1 |
CEV(ForwardLabel, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) | | 0% | | n/a | 1 | 1 | 4 | 4 | 1 | 1 |
computeBlackVolatility(double, double, double, double) | | 92% | | 50% | 5 | 6 | 5 | 18 | 0 | 1 |
evolve(int, int, int, LSQMPointUpdate) | | 91% | | 50% | 3 | 4 | 4 | 15 | 0 | 1 |
StochasticVolatilityStateEvolver(ForwardLabel, double, double, double, UnivariateSequenceGenerator, UnivariateSequenceGenerator) | | 94% | | 50% | 9 | 10 | 1 | 14 | 0 | 1 |
forwardLabel() | | 0% | | n/a | 1 | 1 | 1 | 1 | 1 | 1 |
volatilityOfVolatility() | | 0% | | n/a | 1 | 1 | 1 | 1 | 1 | 1 |
beta() | | 0% | | n/a | 1 | 1 | 1 | 1 | 1 | 1 |
rho() | | 0% | | n/a | 1 | 1 | 1 | 1 | 1 | 1 |
usgForwardRate() | | 0% | | n/a | 1 | 1 | 1 | 1 | 1 | 1 |
usgForwardRateVolatilityIdiosyncratic() | | 0% | | n/a | 1 | 1 | 1 | 1 | 1 | 1 |