} //Calculate european values with mutil thread
public void Calculate_asian()
{
long M = opt.NumberOfSimulation;
Greeks[] greeks = new Greeks[cores];
Thread[] caller = new Thread[cores];
long[] m = new long[cores];
for (int i = 0; i < cores; i++)
{
m[i] = M / cores;
if (i == (cores - 1))
{
m[i] = M - i * m[0];
}
opt.NumberOfSimulation = m[i];
greeks[i] = new Greeks(opt);
caller[i] = new Thread(new ThreadStart(greeks[i].Calculate_Asian));
caller[i].Start();
}
for (int j = 0; j < cores; j++)
{
caller[j].Join();
}
double[] Price = new double[M];
for (int i = 0; i < cores; i++)
{
for (int j = 0; j < m[i]; j++)
{
Price[i * m[0] + j] = greeks[i].Asian_Prices[j];
}
}
for (int i = 0; i < M; i++)
{
Asian_finalPrice += Price[i] / M;
}
for (int j = 0; j < cores; j++)
{
Asian_DeltaT += ((double)m[j] / M) * greeks[j].Asian_Delta();
Asian_VegaT += ((double)m[j] / M) * greeks[j].Asian_Vega();
Asian_GammaT += ((double)m[j] / M) * greeks[j].Asian_Gamma();
Asian_ThetaT += ((double)m[j] / M) * greeks[j].Asian_Theta();
Asian_RhoT += ((double)m[j] / M) * greeks[j].Asian_Rho();
}
double std = 0.0;
for (int i = 0; i < M; i++)
{
std += (Price[i] - Asian_finalPrice) * (Price[i] - Asian_finalPrice);
}
Asian_TOET = Math.Sqrt(std / (M - 1) / M); //Get the stderror.
} //Calculate asian values with mutil thread
} //Calculate lookback values with mutil thread
public void Calculate_range()
{
long M = opt.NumberOfSimulation;
Greeks[] greeks = new Greeks[cores];
Thread[] caller = new Thread[cores];
long[] m = new long[cores];
for (int i = 0; i < cores; i++)
{
m[i] = M / cores;
if (i == (cores - 1))
{
m[i] = M - i * m[0];
}
opt.NumberOfSimulation = m[i];
greeks[i] = new Greeks(opt);
caller[i] = new Thread(new ThreadStart(greeks[i].Calculate_Range));
caller[i].Start();
}
for (int j = 0; j < cores; j++)
{
caller[j].Join();
}
double[] Price = new double[M];
for (int i = 0; i < cores; i++)
{
for (int j = 0; j < m[i]; j++)
{
Price[i * m[0] + j] = greeks[i].Range_Prices[j];
}
}
for (int i = 0; i < M; i++)
{
Range_finalPrice += Price[i] / M;
}
for (int j = 0; j < cores; j++)
{
Range_DeltaT += ((double)m[j] / M) * greeks[j].Range_Delta();
Range_VegaT += ((double)m[j] / M) * greeks[j].Range_Vega();
Range_GammaT += ((double)m[j] / M) * greeks[j].Range_Gamma();
Range_ThetaT += ((double)m[j] / M) * greeks[j].Range_Theta();
Range_RhoT += ((double)m[j] / M) * greeks[j].Range_Rho();
}
double std = 0.0;
for (int i = 0; i < M; i++)
{
std += (Price[i] - Range_finalPrice) * (Price[i] - Range_finalPrice);
}
Range_TOET = Math.Sqrt(std / (M - 1) / M);
}