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MonteCarloNextVolatility Delegate
Delegate type for sampling asset volatility in timeStep time.

Namespace:  FinMath.Derivatives
Assembly:  FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
Syntax
C#
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public delegate double NextVolatility(
	double currentVolatility,
	double timeStep
)

Parameters

currentVolatility
Type: SystemDouble
Actual asset volatility.
timeStep
Type: SystemDouble
Time interval between actual and next volatilities.

Return Value

Type: Double
Asset volatility in timeStep time.
See Also