| private HWFloorlet ( double a, double sigma, double T, double s, double K ) : double | ||
| a | double | /// Hull-White alpha parameter. /// |
| sigma | double | /// Hull-White sigma parameter. /// |
| T | double | /// Floorlet reset date. /// |
| s | double | /// Floorlet payment date. /// |
| K | double | /// Strike rate. /// |
| return | double | |
private double HWFloorlet(double a, double sigma, double T, double s, double K)
{
double d1 = D1(a, sigma, T, s, K);
double d2 = D2(a, sigma, T, s, K);
return (PZC(s) * SpecialFunctions.NormCdf(d1)) - (K * PZC(T) * SpecialFunctions.NormCdf(d2));
}