Pelsser.SquaredGaussianModel.F C# (CSharp) Method

        public double F(double T, double dt)
        {
            return Math.Sqrt(F2(T, dt));
        }

        /// <summary>
        /// Format the y parameter so it can be made compatible with <see cref="Pelsser.Bond"/>.
        /// </summary>
        /// <param name="y">The y parameter wanted inside Bond.</param>
        /// <param name="process">The Pelsser process which will be used.</param>
        /// <returns>The Matrix to pass to Bond.</returns>
        private Matrix DynamicParam(double y, SquaredGaussianModel process)
        {
            double alphaT = process.F(process.CacheDates[0], process.CacheDates[1] - process.CacheDates[0]) +
                            2 * Math.Exp(-process.a1.V() * process.CacheDates[0]) * process.Int(0, process.CacheDates[0]);

            return(new Matrix(new double[] { Math.Pow(y + alphaT, 2) }));
        }