public override RnRFunction Zc(DateTime date, DateTime maturity, double fwdZc)
{
Contract.Requires(date <= maturity);
double d = time[date];
var drift = driftTerm.Eval(d);
return(HwModelUtils.ZcFunction(time[maturity] - d, fwdZc, new[] { meanReversion }, new[, ] {
{ drift }
}));
}
private static RrFunction Drift(Hw1Model model, PaymentInfo probaMeasure)
{
if (!model.PivotCurrency.Equals(probaMeasure.Currency))
{
throw new Exception("Hw1Model only domestic currency numeraire allowed !");
}
var drift = model.DriftTerm();
double probaMat = model.Time[probaMeasure.Date];
if (probaMat > 0.0)
{
var probaDrift = (model.Sigma * model.Sigma) * HwModelUtils.ZcRateCoeffFunction(probaMat, model.MeanReversion);
drift += probaDrift;
}
return(drift);
}