Beispiel #1
0
 /// <summary>
 /// Discounted payoff of  caplet
 /// Payoff P(T+alpha) = max(N * alpha * L(T,T,T+alpa) - K, 0)
 /// </summary>
 /// <param name="paths"></param>
 /// <returns>Payoff at exercise date</returns>
 public double DiscountedPayoff(LiborMarketModelPath paths)
 {
     return(Caplets.Sum(caplet => caplet.DiscountedPayoff(paths)));
 }
Beispiel #2
0
 /// <summary>
 /// Determine the value of the caplet using the Black-Caplet-formula
 /// </summary>
 /// <returns></returns>
 public double Value(YieldCurve yieldCurve, double delta, Func <double, double> volatilityFunction)
 {
     return(Caplets.Sum(caplet => caplet.Value(yieldCurve, delta, volatilityFunction)));
 }