public double exchsfq(double s1, double s2, double time1, double time2, double q) {
typeop = 1;
sv1 = s1;
sv2 = s2;
params(s1, s2, time1, time2, q);
double m1 = Bivnorm.bivar_params.evalArgs(d3, y2, -Math.sqrt(t1 / t2));
double m2 = Bivnorm.bivar_params.evalArgs(d4, y1, -Math.sqrt(t1 / t2));
double n = p.ncDisfnc(d3);
double c =
(s2 * Math.exp((b2 - r) * t2) * m1
- s1 * Math.exp((b1 - r) * t2) * m2
+ qval * s2 * Math.exp((b2 - r) * t1) * n);
return c;
}
private double N(double x) {
Probnormal p = new Probnormal();
double ret = x > (6.95) ? 1.0 : x < (-6.95) ? 0.0 : p.ncDisfnc(x);
// restrict the range of cdf values to stable values
return ret;
}
