private HWFloor ( double a, double sigma, double K, double deltaK, double T ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
K | double | /// Strike rate. /// |
deltaK | double | /// Time period between floorlets expressed in year fraction. /// |
T | double | /// Floor maturity. /// |
리턴 | double |