| private HWBond ( double a, double sigma, double r, Vector T, double t ) : Vector | ||
| a | double | /// Hull-White alpha parameter. /// |
| sigma | double | /// Hull-White sigma parameter. /// |
| r | double | /// Short rate value. /// |
| T | Vector | /// Vector of bond maturity. /// |
| t | double | /// Time at which the valuation is done. /// |
| Результат | Vector | |
private Vector HWBond(double a, double sigma, double r, Vector T, double t)
{
double y = r - this.alphaTFunc(t);
Vector result = new Vector(T.Length);
for (int i = 0; i < T.Length; i++)
{
result[i] = Math.Exp(A(t, T[i], a, sigma, this.zeroRateCurve) - y * B(T[i] - t, a));
}
return result;
}
