/// <summary>
/// 如果当前节点Tick结束，就继续下一个节点
/// </summary>
public override BtResult Tick()
{
if (m_curActiveChild == null)
{
m_curActiveChild = m_children[0];
m_curActiveIndex = 0;
}
BtResult result = m_curActiveChild.Tick();
if (result == BtResult.Ended)
{
m_curActiveIndex++;
if (m_curActiveIndex >= m_children.Count)
{
m_curActiveChild.Clear();
m_curActiveChild = null;
m_curActiveIndex = -1;
}
else
{
m_curActiveChild.Clear();
m_curActiveChild = m_children[m_curActiveIndex];
result = BtResult.Running;
}
}
return(result);
}
public BtResult CalculateBtK0(double K)
{
BtResult bt = new BtResult();
bt.Result.Value = K;
return(bt);
}
public BtResult CalculateBtK1(double r, double sigma, double t, double K, double S, int n, double T)
{
BtResult bt = new BtResult();
bt.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(K, K, r, sigma, t);
bt.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(bt.IntegralPointD1, sigma, t);
bt.Distribution = _distribution.CumulativeDistribution(bt.IntegralPointD1.Result.Value);
bt.a = CalculateAValue(sigma, t);
bt.Result.Value = CalculateBtK1(sigma, K, r, t, bt);
return(bt);
}
public async Task <BtResult> CalculateBtKAsync(double r, double sigma, double t, double K, double S, int n, double T, double BtK_1)
{
BtResult bt = new BtResult();
bt.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(BtK_1, K, r, sigma, t);
bt.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(bt.IntegralPointD1, sigma, t);
bt.Distribution = _distribution.CumulativeDistribution(bt.IntegralPointD1.Result.Value);
bt.a = CalculateAValue(sigma, t);
bt.IntegralFunction = await _btIntegralFunction.CalculateAsync(n, T, r, sigma, t, bt.IntegralPointD2);
bt.Result.Value = CalculateBtValue(sigma, K, r, t, bt);
return(bt);
}
/// <summary>
/// 如果当前节点tick完成就清除
/// </summary>
public override BtResult Tick()
{
if (m_curActiveChild == null)
{
return(BtResult.Ended);
}
BtResult result = m_curActiveChild.Tick();
if (result == BtResult.Ended)
{
m_curActiveChild.Clear();
m_curActiveChild = null;
}
return(result);
}
public override BtResult Tick()
{
BtResult result = BtResult.Ended;
if (m_state == BtActionState.Ready)
{
Enter();
m_state = BtActionState.Running;
}
if (m_state == BtActionState.Running)
{
result = Execute();
if (result != BtResult.Running)
{
Exit();
m_state = BtActionState.Ready;
}
}
return(result);
}
private static double CalculateBtValue(double sigma, double K, double r, double t, BtResult Bt)
{
return((1 / (Bt.Distribution + Bt.a * Math.Exp(-0.5 * Math.Pow(Bt.IntegralPointD1.Result.Value, 2)))) *
(Bt.a * K * Math.Exp(-((r * t) + (0.5 * Math.Pow(Bt.IntegralPointD2.Result.Value, 2))))) +
(r * K * Bt.IntegralFunction.Result.Value));
}
private static double CalculateBtK1(double sigma, double K, double r, double t, BtResult Bt)
{
return((K * (1 / (Bt.Distribution + Bt.a * Math.Exp(-0.5 * Math.Pow(Bt.IntegralPointD1.Result.Value, 2))))) *
(Bt.a * Math.Exp(-((r * t) + (0.5 * Math.Pow(Bt.IntegralPointD2.Result.Value, 2))))) +
(((2 * sigma * r) / ((2 * r) + (Math.Pow(sigma, 2))) * (2 * Bt.Distribution) - 1)));
}
public async Task <PutResult> CalculateAsync(double K, double S, double r, double t, double sigma, int n, double T, BtResult Btksi)
{
PutResult put = new PutResult();
put.EuropeanPut = _europeanPut.Calculate(K, S, r, t, sigma);
put.PutIntegralFunction = await _putIntegralFunction.CalculateAsync(n, T, r, sigma, t, S, K, Btksi);
put.Result.Value = put.EuropeanPut.Result.Value + put.PutIntegralFunction.Result.Value;
return(put);
}
public async Task <IntegralFunction> CalculateAsync(int n, double T, double r, double sigma, double t, double S, double K, BtResult Btksi)
{
IntegralFunction integralFunction = new IntegralFunction();
UnderIntegral[] underIntegral = new UnderIntegral[n];
for (int i = 0; i < n; i++)
{
UnderIntegral ui = new UnderIntegral();
ui.h = (T / n);
ui.ksi = i * ui.h;
ui.IntegralPointD1 = _integralPoints.CalculateIntegralPointD1(S, Btksi.Result.Value, r, sigma, t - ui.ksi);
ui.IntegralPointD2 = _integralPoints.CalculateIntegralPointD2(ui.IntegralPointD1, sigma, t - ui.ksi);
ui.Distribution = _distribution.CumulativeDistribution(-ui.IntegralPointD2.Result.Value);
ui.Result.Value = CalculateUnderIntegral(r, K, t, ui.ksi, ui.Distribution) * ui.h;
underIntegral[i] = ui;
integralFunction.Result.Value += ui.Result.Value;
}
integralFunction.UnderIntegral = underIntegral;
return(integralFunction);
}