HullAndWhiteOneFactor.SwaptionHW1.alphaTFunc C# (CSharp) Method

alphaTFunc() public method

Calculation of alpha function
public alphaTFunc ( double t ) : double
t double Time at which calculate the alpha function
return double
        public double alphaTFunc(double t)
        {
            double dt = 0.001;
            return this.F(t, dt) + this.sigma * this.sigma * Math.Pow(1.0 - Math.Exp(-this.a * t), 2.0) / (2.0 * this.a * this.a);
        }