| public static A ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double | ||
| t | double | /// The time at which the Bond price will be calculated. /// |
| T | double | /// The bond maturity. /// |
| alpha | double | /// Hull-White alpha parameter. /// |
| sigma | double | /// Hull-White sigma parameter. /// |
| zeroRateCurve | System.Function | /// Zero rate curve. /// |
| return | double | |
public static double A(double t, double T, double alpha, double sigma, Function zeroRateCurve)
{
double dT = T - t;
double firstTerm = sigma * sigma * (alpha * dT - 2.0 * (1.0 - Math.Exp(-alpha * dT))
+ 0.5 * (1.0 - Math.Exp(-2.0 * alpha * dT))) / (2.0 * Math.Pow(alpha, 3.0));
return firstTerm - AlphaInt(t, T, alpha, sigma, zeroRateCurve);
}
