public ScnearioGen(InterestRates intR, HullWhite hw, double eqSigma, int endMth)
{
Curves = intR;
HW = hw;
EqSigma = eqSigma;
EndMth = endMth;
}
/// <summary>
/// 랜덤 즉시 생성하여 실행
/// </summary>
/// <param name="scenCnt"></param>
/// <param name="startScenNo"></param>
public void SetScenDataFromRandomGen(int scenCnt)
{
var intRates = new InterestRates(ScenP.SourceCurve, ScenEndMth);
var hw = new HullWhite(ScenP.HW_a, ScenP.HW_sigma);
var scen = new ScnearioGen(intRates, hw, ScenP.EqSigma, ScenEndMth);
ScenData = new Dictionary <int, Dictionary <ScenType, double[]> >();
for (int i = 0; i <= scenCnt; i++)
{
double[] rdIR;
double[] rdEQ;
scen.GetRandom(out rdIR, out rdEQ);
ScenData.Add(i, scen.GetScen(rdIR, rdEQ));
}
}
/// <summary>
/// 랜덤을 파일에서 가져와 실행
/// </summary>
/// <param name="scenCnt"></param>
/// <param name="startScenNo"></param>
public void SetScenDataFromFile(int scenCnt)
{
var intRates = new InterestRates(ScenP.SourceCurve, ScenEndMth);
var hw = new HullWhite(ScenP.HW_a, ScenP.HW_sigma);
var scen = new ScnearioGen(intRates, hw, ScenP.EqSigma, ScenEndMth);
var currentDir = Directory.GetCurrentDirectory();
var rdIrList = Tools.LibFile.ReadCSV(currentDir + @"\ScenarioGenerator\RandomSetIR.csv");
var rdEqList = Tools.LibFile.ReadCSV(currentDir + @"\ScenarioGenerator\RandomSetEQ.csv");
ScenData = new Dictionary <int, Dictionary <ScenType, double[]> >();
for (int i = 1; i <= scenCnt; i++)
{
var rdIR = Array.ConvertAll(rdIrList[i - 1], item => Convert.ToDouble(item));
var rdEQ = Array.ConvertAll(rdEqList[i - 1], item => Convert.ToDouble(item));
double a = rdIR.Sum() + rdEQ.Sum();
ScenData.Add(i, scen.GetScen(rdIR, rdEQ));
}
}
