C# Class HullAndWhiteOneFactor.CapHW1

This class implements the HW1 model for pricing of a Cap (caplets portfolio) and a Floor (floorlets portfolio).

Public Methods

Method	Description
CapHW1 ( System.Function zeroratecurve ) : System	Initializes a new instance of the HullAndWhiteOneFactor.CapHW1 class.
D1 ( double a, double sigma, double T, double s, double K ) : double	Calculates d1 factor to be used in pricing formulas.
D2 ( double a, double sigma, double T, double s, double K ) : double	Calculates d2 factor to be used in pricing formulas.
HWCap ( double a, double sigma, double K, double deltaK, double T ) : double	Calculates the price of a cap within the Hull-White model.
HWCaplet ( double a, double sigma, double T, double s, double K ) : double	Calculates the price of a single caplet within the Hull-White model.
HWMatrixCaps ( Vector capMaturity, Vector capRate, double a, double sigma, double deltaK ) : System.Matrix	Calculates a matrix of cap prices within the Hull-White model.

Method	Description
HWFloor ( double a, double sigma, double K, double deltaK, double T ) : double	Calculates the price of a floor within the Hull-White model.
HWFloorlet ( double a, double sigma, double T, double s, double K ) : double	Calculates the price of a single floorlet within the Hull-White model.
PZC ( double t ) : double	Helper function to make functions easier to read. Just returns the value of the discount factor at position t. This is calculated with e^(-ZR(t)*t).
SigP ( double a, double sigma, double T, double s ) : double	Calculate the volatility term to be used in Hull-White pricing formula.
ZR ( double k ) : double	Helper function to make functions easier to read. Just returns the value of the zero rate at position k.

Initializes a new instance of the HullAndWhiteOneFactor.CapHW1 class.

public CapHW1 ( System.Function zeroratecurve ) : System
zeroratecurve	System.Function	/// The zero-rate curve reference for the model. ///
return	System

Calculates d1 factor to be used in pricing formulas.

public D1 ( double a, double sigma, double T, double s, double K ) : double
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
T	double	/// Reset date. ///
s	double	/// Maturity date. ///
K	double	/// Strike rate. ///
return	double

Calculates d2 factor to be used in pricing formulas.

public D2 ( double a, double sigma, double T, double s, double K ) : double
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
T	double	/// Reset date. ///
s	double	/// Maturity date. ///
K	double	/// Strike rate. ///
return	double

Calculates the price of a cap within the Hull-White model.

public HWCap ( double a, double sigma, double K, double deltaK, double T ) : double
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
K	double	/// Strike rate. ///
deltaK	double	/// Time period between caplets expressed in year fraction. ///
T	double	/// Cap maturity. ///
return	double

Calculates the price of a single caplet within the Hull-White model.

public HWCaplet ( double a, double sigma, double T, double s, double K ) : double
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
T	double	/// Caplet reset date. ///
s	double	/// Caplet payment date. ///
K	double	/// Strike rate. ///
return	double

Calculates a matrix of cap prices within the Hull-White model.

public HWMatrixCaps ( Vector capMaturity, Vector capRate, double a, double sigma, double deltaK ) : System.Matrix
capMaturity	Vector	/// Vector of cap maturities. ///
capRate	Vector	/// Vector of cap strikes. ///
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
deltaK	double	/// Time period between caplets expressed in year fraction. ///
return	System.Matrix