| private SigP ( double a, double sigma, double T, double s ) : double | ||
| a | double | /// Hull-White alpha parameter. /// |
| sigma | double | /// Hull-White sigma parameter. /// |
| T | double | /// Reset date. /// |
| s | double | /// Strike rate. /// |
| return | double | |
private double SigP(double a, double sigma, double T, double s)
{
return (sigma / a) * (1.0 - Math.Exp(-a * (s - T))) * Math.Sqrt((1.0 - Math.Exp(-2.0 * a * T)) / (2.0 * a));
}