public BsUnderlying(
double initialValue,
double sigma,
double mu,
double dt,
int maturityInYear,
int numOfPath,
GaussianRandomNumber random)
{
NumOfPath = NumOfPath;
Dt = dt;
MaturityInYear = maturityInYear;
State = new List <List <double> >();
BrownianMotion = new List <List <double> >();
int numOfGrid = UnderlyingUtil.GetNumOfGrid(dt, maturityInYear);
Func <Tuple <List <double>, List <double> > > onePath = () => {
List <double> path = new List <double>();
List <double> bm = new List <double>();
path.Add(initialValue);
bm.Add(0);
for (int i = 1; i < numOfGrid; ++i)
{
double dw = Math.Sqrt(dt) * random.Next();
double state = path[i - 1] * Math.Exp(
(mu - 0.5 * sigma * sigma) * dt + sigma * dw);
bm.Add(dw);
path.Add(state);
}
return(new Tuple <List <double>, List <double> >(
path, bm));
};
for (int i = 0; i < numOfPath; ++i)
{
var stateAndBm = onePath();
State.Add(stateAndBm.Item1);
BrownianMotion.Add(stateAndBm.Item2);
}
}
public int GetNumOfGrid()
{
return(UnderlyingUtil.GetNumOfGrid(
Dt, MaturityInYear));
}
