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HullAndWhiteOneFactor
SwaptionHW1
PZC
HullAndWhiteOneFactor.SwaptionHW1.PZC C# (CSharp) Method
SwaptionHW1 Class Documentation
Show file
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) { return Math.Exp(-this.ZR(t) * t); }
SwaptionHW1
A
AlphaInt
B
F
ForwardSwapRate
Func
H
HWBond
HWSwaption
HWSwaptionMatrix
PZC
SigmaP
SwaptionHW1
ZCBPut
ZR
alphaTFunc