/// <summary>
/// This is faster for longer span
/// </summary>
/// <param name="data"></param>
/// <param name="average"></param>
/// <param name="periodic"></param>
/// <param name="variance"></param>
/// <returns></returns>
public static double Next(double[] data, ref double average, ref List <double> periodic, ref double variance)
{
double[] PDR = MonteCarloSimulation.PeriodicChange(data, ref periodic);
average = AMath.Average(PDR, average);
variance = AMath.Variance(PDR, average, variance, false);
double Drift = average - (variance / 2.0);
double StandardDeviation = Math.Sqrt(variance); //AMath.StandarDeviation(Variance);
return(data.Last() * Math.Exp(Drift + StandardDeviation * AExcel.NORMSINV(AMath.Random())));
}
/// <summary>
/// this is faster for short span
/// Simulates next value of double set
/// </summary>
/// <param name="data"></param>
/// <returns>future random output</returns>
public static double Next(double[] data)
{
if (data == null || data.Length <= 0)
{
return(double.NaN);
}
double[] PFR = MonteCarloSimulation.PeriodicChange(data);
double Averange = AMath.Average(PFR);
double Variance = AMath.Variance(PFR, Averange, false);
double Drift = Averange - (Variance / 2.0);
double StandardDeviation = Math.Sqrt(Variance); //AMath.StandarDeviation(Variance);
return(data.Last() * Math.Exp(Drift + StandardDeviation * AExcel.NORMSINV(AMath.Random())));
}
public static double[] PeriodicChange(double[] data, ref List <double> last)
{
int length = data.Length;
double[] output = new double[length - 1];
if (last.Count == 0)
{
output = MonteCarloSimulation.PeriodicChange(data);
}
else
{
int LN1 = data.Length - 1;
last.Add(Math.Log(data[LN1] / data[LN1 - 1]));
output = last.ToArray();
}
return(output);
}
/// <summary>
/// Simulates N next values
/// </summary>
/// <param name="data"></param>
/// <param name="N">count of values in generated sequence</param>
/// <returns></returns>
public static List <double> Next(double[] data, int N)
{
if (data == null || data.Length <= 0)
{
return(null);
}
List <double> input = data.ToList();
double[] output = new double[N];
double average = double.NaN;
double variance = double.NaN;
List <double> periodic = new List <double>();
int i = 0;
for (; i < N; i++)
{
output[i] = MonteCarloSimulation.Next(input.ToArray(), ref average, ref periodic, ref variance);
input.Add(output[i]);
}
return(output.ToList());
}
