public override void ProcessPath(ref double[] arr)
{
double L = 170.0;
double rebate = 0.0;
double P, tmp, u;
bool crossed = false;
for (int n = 1; n < arr.Length; n++)
{
// Calculate exit probability
tmp = sde.Diffusion((double)arr[n - 1], (double)(n - 1) * dt);
//P = 1.0;
// if ((arr[n] < L) && (arr[n-1] < L))
P = Math.Exp(-2.0 * (L - arr[n - 1]) * (L - arr[n]) / (tmp * tmp * dt));
u = rand.NextDouble();
if (P >= u)
{
counter++;
// Console.Write("{0},* {1}, {2},{3},{4} ", P, u, tmp, arr[n-1],arr[n]);
// string str = Console.ReadLine();
}
if (arr[n] >= L || P >= u)
// if (arr[n] >= L)
{ // Down and out
crossed = true;
break;
}
}
if (crossed == false)
{
// sum += Math.Max(0.0, arr[arr.Length - 1] - K);
sum += m_payoff(arr[arr.Length - 1]);
// Console.WriteLine(m_payoff((double)75.0));
}
else
{
sum += rebate;
}
NSim++;
}
