| private H ( double a, double sigma, double L, double K, double T, double s ) : double | ||
| a | double | /// Hull-White alpha parameter. /// |
| sigma | double | /// Hull-White sigma parameter. /// |
| L | double | /// Zero coupon notional. /// |
| K | double | /// Bond rate. /// |
| T | double | /// The maturity of the option. /// |
| s | double | /// The maturity of the bond. /// |
| return | double | |
private double H(double a, double sigma, double L, double K, double T, double s)
{
double sigmap = this.SigmaP(a, sigma, T, s);
return Math.Log(L * this.PZC(s) / (K * this.PZC(T))) / sigmap + 0.5 * sigmap;
}
