| public ForwardSwapRate ( double t, Vector T ) : double | ||
| t | double | /// The swap starting time. /// |
| T | Vector | /// The vector of swap payment times. /// |
| Результат | double | |
public double ForwardSwapRate(double t, Vector T)
{
double den = (T[0] - t) * this.PZC(T[0]);
for (int i = 0; i < (T.Length - 1); i++)
den += (T[i + 1] - T[i]) * this.PZC(T[i + 1]);
return (this.PZC(t) - this.PZC(T[T.Length - 1])) / den;
}
