/// <summary>
/// Vectorial version of method a.
/// </summary>
/// <param name="i">The discrete time-step.</param>
/// <param name="x">The actual state matrix.</param>
/// <param name="a">The output drift matrix.</param>
public unsafe void va(int i, Matrix x, Matrix a)
{
// Gets the reference to the state and drift components.
VectorNP x1 = new VectorNP(x.GetRowReference(0));
VectorNP x2 = new VectorNP(x.GetRowReference(1));
VectorNP a1 = new VectorNP(a.GetRowReference(0));
VectorNP a2 = new VectorNP(a.GetRowReference(1));
if (transformedSimulation)
{
VectorNP delta_r = this.theta[i] - alpha1 * x1;
if (DVPLI.SolverAssumptions.UseRiskNeutralMeasure)
{
delta_r += this.driftAdjustment.vfV();
}
delta_r.CopyTo(a1);
}
else
{
// Does a straight simulation.
VectorNP delta_r = this.theta[i] + x2 - alpha1 * x1;
delta_r.CopyTo(a2);
}
VectorNP delta_r2 = -alpha2 * x1;
delta_r2.CopyTo(a2);
}
/// <summary>
/// This function defines the drift in the Pelsser Markov process.
/// The formula to calculate the A component is
/// A = - alpha * previous State.
/// This is the version which handles a vectorial execution.
/// </summary>
/// <param name="i">The parameter is not used.</param>
/// <param name="x">The state Matrix at the previous state.</param>
/// <param name="a">The output of the function.</param>
public void va(int i, Matrix x, Matrix a)
{
VectorNP x1 = new VectorNP(x.GetRowReference(0));
VectorNP tmp = -this.alpha1Temp * x1;
tmp.CopyTo(a);
}
/// <summary>
/// This function defines the volatility in the Pelsser markov process.
/// The formula to calculate the B component is
/// B = sigma.
/// This is the version which handles a vectorial execution.
/// </summary>
/// <param name="i">The parameter is not used.</param>
/// <param name="x">The parameter is not used.</param>
/// <param name="b">The output of the function.</param>
public void vb(int i, Matrix x, Matrix b)
{
VectorNP tmp = new VectorNP(b);
b.Fill(this.sigma1Temp);
}
/// <summary>
/// This function defines the drift in the Pelsser Markov process.
/// The formula to calculate the A component is
/// A = - alpha * previous State.
/// This is the version which handles a vectorial execution.
/// </summary>
/// <param name="i">The parameter is not used.</param>
/// <param name="x">The state Matrix at the previous state.</param>
/// <param name="a">The output of the function.</param>
public void va(int i, Matrix x, Matrix a)
{
VectorNP x1 = new VectorNP(x.GetRowReference(0));
VectorNP tmp = -this.alpha1Temp * x1;
tmp.CopyTo(a);
}
/// <summary>
/// This function defines the volatility in the Pelsser markov process.
/// The formula to calculate the B component is
/// B = sigma.
/// This is the version which handles a vectorial execution.
/// </summary>
/// <param name="i">The parameter is not used.</param>
/// <param name="x">The parameter is not used.</param>
/// <param name="b">The output of the function.</param>
public void vb(int i, Matrix x, Matrix b)
{
VectorNP tmp = new VectorNP(b);
b.Fill(this.sigma1Temp);
}
/// <summary>
/// Vectorial version of method a.
/// </summary>
/// <param name="i">The discrete time-step.</param>
/// <param name="x">The actual state matrix.</param>
/// <param name="a">The output drift matrix.</param>
public unsafe void va(int i, Matrix x, Matrix a)
{
// Gets the reference to the state and drift components.
VectorNP x1 = new VectorNP(x.GetRowReference(0));
VectorNP x2 = new VectorNP(x.GetRowReference(1));
VectorNP a1 = new VectorNP(a.GetRowReference(0));
VectorNP a2 = new VectorNP(a.GetRowReference(1));
if (transformedSimulation)
{
VectorNP delta_r = this.theta[i] - alpha1 * x1;
if (DVPLI.SolverAssumptions.UseRiskNeutralMeasure)
delta_r += this.driftAdjustment.vfV();
delta_r.CopyTo(a1);
}
else
{
// Does a straight simulation.
VectorNP delta_r = this.theta[i] + x2 - alpha1 * x1;
delta_r.CopyTo(a2);
}
VectorNP delta_r2 = -alpha2 * x1;
delta_r2.CopyTo(a2);
}
