Exemple #1
0
        private double FindPayoff(int[] p, double k)
        {
            double result = 0;

            if (Derivative == Derivative.Caplet)
            {
                result = _economy.CapletPayoff(p[0], k);
            }
            if (Derivative == Derivative.Swaption)
            {
                result = _economy.SwaptionPayoff(p[0], p[1], k);
            }
            if (Derivative == Derivative.Custom)
            {
                result = Payoff.Evaluate();
            }
            return(result);
        }