/// <summary>
/// Constructs a new filtered Gaussian with the given generator and filter.
/// </summary>
/// <param name="generator">The guassian generator.</param>
/// <param name="filter">The filter.</param>
public FilteredGuassian(IGaussianGenerator generator, RandomFilter <float> filter = null)
: base(null, filter)
{
Mean = generator.Mean;
StandardDeviation = generator.StandardDeviation;
Generator = generator;
InitializeRange(Mean, StandardDeviation);
}
public BrownianManager(IGaussianGenerator gaussianGenerator)
{
_gaussianGenerator = gaussianGenerator;
NumFactorsForEachID = new Dictionary<string, int>();
}
public Evolver(List<RiskFactor> Equities, double [,] correlMatrix)
{
_gaussianGenerator = new BoxMuller();
_brownianManager = new BrownianManager(_gaussianGenerator);
_correlator = new Cholesky(correlMatrix);
_l_RiskFactors = Equities;
_brownianManager.initialize(_l_RiskFactors);
}
