public static RnRFunction ZcFunction(double duration, double fwdZc, double[] meanReversions, double[,] covariances)
{
var zcRateCoeffs = meanReversions.Map(l => ZcRateCoeff(duration, l));
double cvx = covariances.BilinearProd(zcRateCoeffs, zcRateCoeffs);
return(RnRFunctions.ExpAffine(fwdZc * Math.Exp(-0.5 * cvx), zcRateCoeffs));
}
public RnRFunction Spot(DateTime date)
{
var forwardWithoutDivs = assetDiscountCurve.Zc(probaMeasure.Date) / assetDiscountCurve.Zc(date);
return(RnRFunctions.Affine(0.0, new[] { forwardWithoutDivs }));
}
public override RnRFunction Zc(DateTime date, DateTime maturity, double fwdZc)
{
return(RnRFunctions.Constant(fwdZc, dimension));
}