Pelsser.SquaredGaussianModel.f C# (CSharp) Method

f() public method

Calculates the instantaneous forward.
public f ( double t, double dt ) : double
t double The time where to calculate the instantaneous forward.
dt double /// The delta of time to consider to calculate the instantaneous forward. ///
return double
        public double f(double t, double dt)
        {
            if (t == 0)
                return ZR(t);
            else
                return (ZR(t) * t - ZR(t - dt) * (t - dt)) / dt;
        }