/// <summary>
/// Discounted payoff of caplet
/// Payoff P(T+alpha) = max(N * alpha * L(T,T,T+alpa) - K, 0)
/// </summary>
/// <param name="paths"></param>
/// <returns>Payoff at exercise date</returns>
public double DiscountedPayoff(LiborMarketModelPath paths)
{
return(Caplets.Sum(caplet => caplet.DiscountedPayoff(paths)));
}
/// <summary>
/// Determine the value of the caplet using the Black-Caplet-formula
/// </summary>
/// <returns></returns>
public double Value(YieldCurve yieldCurve, double delta, Func <double, double> volatilityFunction)
{
return(Caplets.Sum(caplet => caplet.Value(yieldCurve, delta, volatilityFunction)));
}
