public double value(double x)
{
CumulativeNormalDistribution phi = new CumulativeNormalDistribution();
double temp = (x - mux_) / sigmax_;
double txy = Math.Sqrt(1.0 - rhoxy_ * rhoxy_);
Vector lambda = new Vector(size_);
int i;
for (i = 0; i < size_; i++)
{
double tau = (i == 0 ? t_[0] - T_ : t_[i] - t_[i - 1]);
double c = (i == size_ - 1 ? (1.0 + rate_ * tau) : rate_ * tau);
lambda[i] = c * A_[i] * Math.Exp(-Ba_[i] * x);
}
//SolvingFunction function = new SolvingFunction(lambda, Bb_);
//verifier le polymorphisme
SolvingFunction function = new SolvingFunction(lambda, Bb_);
Brent s1d = new Brent();
s1d.setMaxEvaluations(1000);
double yb = s1d.solve(function, 1e-6, 0.00, -100.0, 100.0);
double h1 = (yb - muy_) / (sigmay_ * txy) -
rhoxy_ * (x - mux_) / (sigmax_ * txy);
double value = phi.value(-w_ * h1);
for (i = 0; i < size_; i++)
{
double h2 = h1 +
Bb_[i] * sigmay_ *Math.Sqrt(1.0 - rhoxy_ *rhoxy_);
double kappa = -Bb_[i] *
(muy_ - 0.5 * txy * txy * sigmay_ * sigmay_ * Bb_[i] +
rhoxy_ * sigmay_ * (x - mux_) / sigmax_);
value -= lambda[i] * Math.Exp(kappa) * phi.value(-w_ * h2);
}
return(Math.Exp(-0.5 * temp * temp) * value /
(sigmax_ * Math.Sqrt(2.0 * QLNet.Const.M_PI)));
}
public double value(double x)
{
CumulativeNormalDistribution phi = new CumulativeNormalDistribution();
double temp = (x - mux_)/sigmax_;
double txy = Math.Sqrt(1.0 - rhoxy_*rhoxy_);
Vector lambda = new Vector(size_);
int i;
for (i=0; i<size_; i++) {
double tau = (i==0 ? t_[0] - T_ : t_[i] - t_[i-1]);
double c = (i==size_-1 ? (1.0+rate_*tau) : rate_*tau);
lambda[i] = c*A_[i]*Math.Exp(-Ba_[i]*x);
}
//SolvingFunction function = new SolvingFunction(lambda, Bb_);
//verifier le polymorphisme
SolvingFunction function = new SolvingFunction(lambda, Bb_);
Brent s1d = new Brent();
s1d.setMaxEvaluations(1000);
double yb = s1d.solve(function, 1e-6, 0.00, -100.0, 100.0);
double h1 = (yb - muy_)/(sigmay_*txy) -
rhoxy_*(x - mux_)/(sigmax_*txy);
double value = phi.value(-w_*h1);
for (i=0; i<size_; i++) {
double h2 = h1 +
Bb_[i]*sigmay_*Math.Sqrt(1.0-rhoxy_*rhoxy_);
double kappa = - Bb_[i] *
(muy_ - 0.5*txy*txy*sigmay_*sigmay_*Bb_[i] +
rhoxy_*sigmay_*(x-mux_)/sigmax_);
value -= lambda[i] *Math.Exp(kappa)*phi.value(-w_*h2);
}
return Math.Exp(-0.5*temp*temp)*value/
(sigmax_*Math.Sqrt(2.0*QLNet.Const.M_PI));
}
