public ZCBPut ( double a, double sigma, double L, double K, double T, double s ) : double | ||
a | double | /// Hull-White alpha parameter. /// |
sigma | double | /// Hull-White sigma parameter. /// |
L | double | /// Zero coupon notional. /// |
K | double | /// Bond rate. /// |
T | double | /// The maturity of the option. /// |
s | double | /// The maturity of the bond. /// |
return | double |
public double ZCBPut(double a, double sigma, double L, double K, double T, double s)
{
double h = this.H(a, sigma, L, K, T, s);
double sigmap = this.SigmaP(a, sigma, T, s);
return K * this.PZC(T) * SpecialFunctions.NormCdf(-h + sigmap) - L * this.PZC(s) * SpecialFunctions.NormCdf(-h);
}