| public Int ( double t1, double t2 ) : double | ||
| t1 | double | The starting point of the integration. |
| t2 | double | The ending point of the integration. |
| return | double | |
/// <summary>
/// Format the y parameter so it can be made compatible with <see cref="Pelsser.Bond"/>.
/// </summary>
/// <param name="y">The y parameter wanted inside Bond.</param>
/// <param name="process">The Pelsser process which will be used.</param>
/// <returns>The Matrix to pass to Bond.</returns>
private Matrix DynamicParam(double y, SquaredGaussianModel process)
{
double alphaT = process.F(process.CacheDates[0], process.CacheDates[1] - process.CacheDates[0]) +
2 * Math.Exp(-process.a1.V() * process.CacheDates[0]) * process.Int(0, process.CacheDates[0]);
return(new Matrix(new double[] { Math.Pow(y + alphaT, 2) }));
}
/// <summary>
/// Format the y parameter so it can be made compatible with <see cref="Pelsser.Bond"/>.
/// </summary>
/// <param name="y">The y parameter wanted inside Bond.</param>
/// <param name="process">The Pelsser process which will be used.</param>
/// <returns>The Matrix to pass to Bond.</returns>
private Matrix DynamicParam(double y, SquaredGaussianModel process)
{
double alphaT = process.F(process.CacheDates[0], process.CacheDates[1] - process.CacheDates[0]) +
2 * Math.Exp(-process.a1.V() * process.CacheDates[0]) * process.Int(0, process.CacheDates[0]);
return new Matrix(new double[] { Math.Pow(y + alphaT, 2) });
}