コード例 #1
0
 public override void Visit(VasicekModel model)
 { // Price a put or call using Jamshidian (1989)
     if (type == OptionType.Call)
     {
         price = CallPrice(model);   // implements Jamshidian 1989
     }
     else
     {
         price = PutPrice(model);    // implements Jamshidian 1989
     }
 }
コード例 #2
0
        private double PutPrice(VasicekModel model)
        {
            double nu = 0.5 * model.vol * model.vol * (1.0 - Exp(-2.0 * model.kappa * (T - t))) / model.kappa;

            nu = Sqrt(nu);

            double sigP = nu * (1.0 - Exp(-model.kappa * (s - T))) / model.kappa;

            double d1 = (Log(model.P(t, s) / (model.P(t, T) * K)) / sigP) + 0.5 * sigP;
            double d2 = d1 - sigP;

            return(K * model.P(t, T) * N(-d2) - model.P(t, s) * N(-d1));
        }