| private SigmaP ( double a, double sigma, double T, double s ) : double | ||
| a | double | /// Hull-White alpha parameter. /// |
| sigma | double | /// Hull-White sigma parameter. /// |
| T | double | /// The maturity of the option. /// |
| s | double | /// The maturity of the bond. /// |
| Результат | double | |
private double SigmaP(double a, double sigma, double T, double s)
{
return sigma * (1.0 - Math.Exp(-a * (s - T))) * Math.Sqrt(0.5 * (1.0 - Math.Exp(-2.0 * a * T)) / a) / a;
}
