private FdmBase GetFdm(ISde sde)
{
Console.WriteLine("Create FDM");
Console.WriteLine("1. Euler, 2. Extrapolated Euler, 3. Milstein, 4. Predictor-Corrector (PC),");
Console.WriteLine("5. PC adjusted, 6. PC midpoint, 7. Exact, 8. Discrete Milstein,");
Console.WriteLine("9. Karhunen Loeve, 10. Platen 1.0 strong scheme, 11. Heun");
Console.WriteLine("12. Derivative Free, 13. FRKI (Runge Kutta), 14. Heun2: ");
int c = Convert.ToInt32(Console.ReadLine());
FdmBase fdm;
int NT = 500;
Console.Write("How many NT? ");
NT = Convert.ToInt32(Console.ReadLine());
double a, b;
switch (c)
{
case 1:
fdm = new EulerFdm(sde, NT);
break;
case 2:
fdm = new ExtrapolatedEulerFdm(sde, NT);
break;
case 3:
fdm = new MilsteinFdm(sde, NT);
break;
case 4:
a = 0.5;
b = 0.5;
fdm = new PredictorCorrectorFdm(sde, NT, a, b);
break;
case 5:
a = 0.5;
b = 0.5;
fdm = new ModifiedPredictorCorrectorFdm(sde, NT, a, b);
break;
case 6:
a = 0.5;
b = 0.5;
fdm = new MidpointPredictorCorrectorFdm(sde, NT, a, b);
break;
case 7:
fdm = new ExactFdm(sde, NT);
break;
case 8:
fdm = new DiscreteMilsteinFdm(sde, NT);
break;
case 9:
int N = 100; // Series truncation value
// IRng rng = new PolarMarsagliaSitmo();
// fdm = new KarhunenLoeve(sde, NT, N, rng);
fdm = new Platen_01_Explicit(sde, NT);
break;
case 10:
fdm = new Platen_01_Explicit(sde, NT);
break;
case 11:
fdm = new Heun(sde, NT);
break;
case 12:
fdm = new DerivativeFree(sde, NT);
break;
case 13:
fdm = new FRKI(sde, NT);
break;
case 14:
fdm = new Heun2(sde, NT);
break;
default:
fdm = new ExtrapolatedEulerFdm(sde, NT);
break;
}
return(fdm);
}
private FdmBase GetFdm(ISde sde)
{
Console.WriteLine("Create FDM");
Console.WriteLine("1. Euler, 2. Extrapolated Euler, 3. Milstein, 4. Predictor-Corrector (PC),");
Console.WriteLine("5. PC adjusted, 6. PC midpoint, 7. Exact, 8. Discrete Milstein,");
Console.WriteLine("9. Platen 1.0 strong scheme, 10. Platen 1.0 strong scheme, 11. Heun");
Console.WriteLine("12. Derivative Free, 13. FRKI (Runge Kutta), 14. Heun2, 15. Fitted PC: ");
int c = Convert.ToInt32(Console.ReadLine());
FdmBase fdm;
int NT;
Console.Write("How many NT? ");
NT = Convert.ToInt32(Console.ReadLine());
double a, b;
switch (c)
{
case 1:
fdm = new EulerFdm(sde, NT);
break;
case 2:
fdm = null; // new ExtrapolatedEulerFdm(sde, NT);
break;
case 3:
fdm = new MilsteinFdm(sde, NT);
break;
case 4:
a = 0.5;
b = 0.5;
fdm = new PredictorCorrectorFdm(sde, NT, a, b);
break;
case 5:
a = 0.5;
b = 0.5;
fdm = new ModifiedPredictorCorrectorFdm(sde, NT, a, b);
break;
case 6:
a = 0.5;
b = 0.5;
fdm = new MidpointPredictorCorrectorFdm(sde, NT, a, b);
break;
case 7:
fdm = new ExactFdm(sde, NT, IC, v, r);
break;
case 8:
fdm = new DiscreteMilsteinFdm(sde, NT);
break;
case 9:
fdm = new Platen_01_Explicit(sde, NT);
break;
case 10:
fdm = new Platen_01_Explicit(sde, NT);
break;
case 11:
fdm = new Heun(sde, NT);
break;
case 12:
fdm = new DerivativeFree(sde, NT);
break;
case 13:
fdm = new FRKI(sde, NT);
break;
case 14:
fdm = new Heun2(sde, NT);
break;
case 15:
a = 0.5;
b = 0.5;
fdm = new FittedMidpointPredictorCorrectorFdm(sde, NT, a, b);
break;
default:
fdm = null; // new ExtrapolatedEulerFdm(sde, NT);
break;
}
return(fdm);
}
