public IEBSResultElement Calculate(
IEBSResultElementFactory EBSResultElementFactory,
ItIndexElement tIndexElement,
IΛIndexElement ΛIndexElement,
IΩ Ω,
IExpectedValueI ExpectedValueI,
IVarianceI VarianceI)
{
int Ω_tΛ = Ω.Value.Value.Value;
double ExpectedValueI_tΛ = (double)ExpectedValueI.GetElementAtAsdecimal(
tIndexElement,
ΛIndexElement);
double VarianceI_tΛ = (double)VarianceI.GetElementAtAsdecimal(
tIndexElement,
ΛIndexElement);
double lowerBound = Ω_tΛ + 0.5;
double upperBound = double.PositiveInfinity;
double value =
0.5
*
(Ω_tΛ - ExpectedValueI_tΛ)
*
(MathNet.Numerics.SpecialFunctions.Erf(
(lowerBound - ExpectedValueI_tΛ)
*
Math.Pow(Math.Sqrt(2 * VarianceI_tΛ), -1))
-
MathNet.Numerics.SpecialFunctions.Erf(
(upperBound - ExpectedValueI_tΛ)
*
Math.Pow(Math.Sqrt(2 * VarianceI_tΛ), -1)))
+
Math.Sqrt(VarianceI_tΛ)
*
Math.Pow(Math.Sqrt(2 * Math.PI), -1)
*
(Math.Exp(
-Math.Pow(lowerBound - ExpectedValueI_tΛ, 2)
*
Math.Pow(2 * VarianceI_tΛ, -1))
-
Math.Exp(
-Math.Pow(upperBound - ExpectedValueI_tΛ, 2)
*
Math.Pow(2 * VarianceI_tΛ, -1)));
return(EBSResultElementFactory.Create(
tIndexElement,
ΛIndexElement,
(decimal)value));
}
public decimal Calculate(
INormalFactory normalFactory,
ItIndexElement tIndexElement,
IΛIndexElement ΛIndexElement,
IExpectedValueI expectedValueI,
IVarianceI varianceI,
decimal υ2)
{
// https://stackoverflow.com/questions/1662943/standard-normal-distribution-z-value-function-in-c-sharp
MathNet.Numerics.Distributions.Normal normal = (MathNet.Numerics.Distributions.Normal)normalFactory.Create();
return
((decimal)expectedValueI.GetElementAtAsdecimal(
tIndexElement,
ΛIndexElement)
+
(decimal)normal.CumulativeDistribution((double)(1 - υ2))
*
(decimal)Math.Sqrt(
(double)varianceI.GetElementAtAsdecimal(
tIndexElement,
ΛIndexElement)));
}
