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
}
}
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));
}