public static void SimpleMonteCarlo4(VanillaOption option,
double spot,
Parameters vol,
Parameters r,
ulong number_of_paths,
StatisticsMC gatherer)
{
double expiry = option.Expiry;
double variance = vol.IntegralSquare(0, expiry);
double root_variance = Math.Sqrt(variance);
double moved_spot = spot * Math.Exp(r.Integral(0, expiry) - 0.5 * variance);
double this_spot;
double discounting = Math.Exp(-r.Integral(0, expiry));
for (ulong i = 0; i < number_of_paths; i++)
{
double this_gaussian = MyRandom.GetOneGaussianByBoxMuller();
this_spot = moved_spot * Math.Exp(root_variance * this_gaussian);
gatherer.DumpOneResult(discounting * option.OptionPayOff(this_spot));
}
}
Parameters(Parameters original)
{
this.params_inner_ = original.params_inner_.Clone();
}
