private double QOFSwpn()
{
double total = 0;
foreach (int t in _param.SwaptionExpiries)
{
if (t > _param.UnderlyingExpiry - 1)
{
break;
}
foreach (var t1 in _param.SwaptionTenors)
{
if (t + t1 > _param.UnderlyingTenor - 1)
{
break;
}
double tempImpliedVolatility = _economy.ReturnImpliedVolatility(t, t1);
if (!(tempImpliedVolatility > 0))
{
continue;
}
double temp = Math.Log(_economy.FindImpliedVolatility(t, t1) /
tempImpliedVolatility);
total += temp * temp;
}
}
total = total * _sFactor;
return(total);
}