| public PutIntegrandFunc ( double u ) : double | ||
| u | double | |
| return | double | |
public double PutIntegrandFunc(double u)
{
Complex I = Complex.I;
Complex Iu = Complex.I * u;
Complex A = Complex.Exp(-Iu * Math.Log(this.K));
Complex complexVal1 = A * Phi(u - I, this.kappa, this.theta, this.sigma, this.rho, this.s0, this.v0, this.rate - this.dividend, this.T) / Iu;
Complex complexVal2 = A * Phi(u, this.kappa, this.theta, this.sigma, this.rho, this.s0, this.v0, this.rate - this.dividend, this.T) / Iu;
return complexVal2.Re - this.K * complexVal1.Re;
}