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HullAndWhiteOneFactor
CapHW1
PZC
HullAndWhiteOneFactor.CapHW1.PZC C# (CSharp) Method
CapHW1 Class Documentation
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Open project: fairmat/InterestRatesModels
PZC()
private
method
Helper function to make functions easier to read. Just returns the value of the discount factor at position t. This is calculated with e^(-ZR(t)*t).
private
PZC
(
double
t
) :
double
t
double
The position where to get the value of discount factor from.
return
double
private double PZC(double t) { if (t == 0) return 1.0; else return Math.Exp(-ZR(t) * t); }
CapHW1
CapHW1
D1
D2
HWCap
HWCaplet
HWFloor
HWFloorlet
HWMatrixCaps
PZC
SigP
ZR