/// <summary>
/// Calculates the value of a Bond under the Pelsser model.
/// </summary>
/// <param name='dynamic'>
/// The simulated process.
/// </param>
/// <param name='dates'>
/// The vector of reference dates.
/// </param>
/// <param name='i'>
/// The index at which the state variables must be sampled.
/// </param>
/// <param name='t'>
/// The date in years/fractions at at which the state variables must be sampled.
/// </param>
/// <param name='s'>
/// The maturity of the bond.
/// </param>
/// <returns>The value of the bound at index i using the Pelsser model.</returns>
public double Bond(IReadOnlyMatrixSlice dynamic, double[] dates, int i, double t, double s)
{
// Handles special case.
if (t == s)
{
return(1);
}
// Get the value of the short rate.
double y = Math.Sqrt(dynamic[i, 0]) - this.alphaT0[i];
PelsserKey k = new PelsserKey(t, s);
PelsserCache cachedValue = null;
lock (this.cache)
{
if (this.cache.ContainsKey(k))
{
cachedValue = this.cache[k];
}
else
{
cachedValue = new PelsserCache(t, s, this);
// Insert the value in the cache.
this.cache.Add(k, cachedValue);
}
}
double v = Math.Exp(cachedValue.A - y * cachedValue.B - (y * y) * cachedValue.CtT0);
return(v);
}
/// <summary>
/// Calculates the value of a Bond under the Pelsser model.
/// </summary>
/// <param name='dynamic'>
/// The simulated process.
/// </param>
/// <param name='dates'>
/// The vector of reference dates.
/// </param>
/// <param name='i'>
/// The index at which the state variables must be sampled.
/// </param>
/// <param name='t'>
/// The date in years/fractions at at which the state variables must be sampled.
/// </param>
/// <param name='s'>
/// The maturity of the bond.
/// </param>
/// <returns>The value of the bound at index i using the Pelsser model.</returns>
public double Bond(IReadOnlyMatrixSlice dynamic, double[] dates, int i, double t, double s)
{
// Handles special case.
if (t == s)
return 1;
// Get the value of the short rate.
double y = Math.Sqrt(dynamic[i, 0]) - this.alphaT0[i];
PelsserKey k = new PelsserKey(t, s);
PelsserCache cachedValue = null;
lock (this.cache)
{
if (this.cache.ContainsKey(k))
cachedValue = this.cache[k];
else
{
cachedValue = new PelsserCache(t, s, this);
// Insert the value in the cache.
this.cache.Add(k, cachedValue);
}
}
double v = Math.Exp(cachedValue.A - y * cachedValue.B - (y * y) * cachedValue.CtT0);
return v;
}
/// <summary>
/// Checks if the provided <see cref="PelsserKey"/> object is equivalent
/// to this object.
/// </summary>
/// <param name="obj">True if the two objects are equivalent.</param>
/// <returns>True if the two <see cref="PelsserKey"/> objects are equivalent.</returns>
public bool Equals(PelsserKey obj)
{
return(obj.t == this.t && obj.s == this.s);
}
/// <summary>
/// Checks if the provided <see cref="PelsserKey"/> object is equivalent
/// to this object.
/// </summary>
/// <param name="obj">True if the two objects are equivalent.</param>
/// <returns>True if the two <see cref="PelsserKey"/> objects are equivalent.</returns>
public bool Equals(PelsserKey obj)
{
return obj.t == this.t && obj.s == this.s;
}
