public GaussianPathGenerator(StochasticProcess arg0, TimeGrid timeGrid, GaussianRandomSequenceGenerator generator, bool brownianBridge) : this(NQuantLibcPINVOKE.new_GaussianPathGenerator__SWIG_1(StochasticProcess.getCPtr(arg0), TimeGrid.getCPtr(timeGrid), GaussianRandomSequenceGenerator.getCPtr(generator), brownianBridge), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public GaussianMultiPathGenerator(StochasticProcess process, DoubleVector times, GaussianRandomSequenceGenerator generator) : this(NQuantLibcPINVOKE.new_GaussianMultiPathGenerator__SWIG_1(StochasticProcess.getCPtr(process), DoubleVector.getCPtr(times), GaussianRandomSequenceGenerator.getCPtr(generator)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public GaussianPathGenerator(StochasticProcess arg0, double length, uint timeSteps, GaussianRandomSequenceGenerator generator, bool brownianBridge) : this(NQuantLibcPINVOKE.new_GaussianPathGenerator__SWIG_0(StochasticProcess.getCPtr(arg0), length, timeSteps, GaussianRandomSequenceGenerator.getCPtr(generator), brownianBridge), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public InvCumulativeMersenneTwisterPathGenerator(StochasticProcess arg0, TimeGrid timeGrid, InvCumulativeMersenneTwisterGaussianRsg generator, bool brownianBridge) : this(NQuantLibcPINVOKE.new_InvCumulativeMersenneTwisterPathGenerator__SWIG_1(StochasticProcess.getCPtr(arg0), TimeGrid.getCPtr(timeGrid), InvCumulativeMersenneTwisterGaussianRsg.getCPtr(generator), brownianBridge), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
protected MCAutocallEngine(StochasticProcess process, int timeSteps, int timeStepsPerYear, bool brownianBridge,
bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance, int maxSamples, ulong seed)
//protected MCVanillaEngine(StochasticProcess process, int timeSteps, int timeStepsPerYear, bool brownianBridge,
// bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance,
// int maxSamples, ulong seed)
: base(process, timeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, controlVariate, requiredSamples,
requiredTolerance, maxSamples, seed)
{
}
public static GsrProcess as_gsr_process(StochasticProcess proc)
{
GsrProcess ret = new GsrProcess(NQuantLibcPINVOKE.as_gsr_process(StochasticProcess.getCPtr(proc)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public void testMultiple(StochasticProcess process,
string tag,
double[] expected,
double[] antithetic)
{
ulong seed = 42;
double length = 10;
int timeSteps = 12;
int assets = process.size();
var rsg = (InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>
, InverseCumulativeNormal>)
new PseudoRandom().make_sequence_generator(timeSteps * assets, seed);
MultiPathGenerator <IRNG> generator = new MultiPathGenerator <IRNG>(process,
new TimeGrid(length, timeSteps),
rsg, false);
int i;
for (i = 0; i < 100; i++)
{
generator.next();
}
Sample <MultiPath> sample = generator.next();
Vector calculated = new Vector(assets);
double error, tolerance = 2.0e-7;
for (int j = 0; j < assets; j++)
{
calculated[j] = sample.value[j].back();
}
for (int j = 0; j < assets; j++)
{
error = Math.Abs(calculated[j] - expected[j]);
if (error > tolerance)
{
Assert.Fail("using " + tag + " process "
+ "(" + j + 1 + " asset:)\n"
//+ std::setprecision(13)
+ " calculated: " + calculated[j] + "\n"
+ " expected: " + expected[j] + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
}
sample = generator.antithetic();
for (int j = 0; j < assets; j++)
{
calculated[j] = sample.value[j].back();
}
for (int j = 0; j < assets; j++)
{
error = Math.Abs(calculated[j] - antithetic[j]);
if (error > tolerance)
{
Assert.Fail("using " + tag + " process "
+ "(" + j + 1 + " asset:)\n"
+ "antithetic sample:\n"
//+ std::setprecision(13)
+ " calculated: " + calculated[j] + "\n"
+ " expected: " + antithetic[j] + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(StochasticProcess obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public GaussianMultiPathGenerator(StochasticProcess process, DoubleVector times, GaussianRandomSequenceGenerator generator) : this(NQuantLibcPINVOKE.new_GaussianMultiPathGenerator__SWIG_1(StochasticProcess.getCPtr(process), DoubleVector.getCPtr(times), GaussianRandomSequenceGenerator.getCPtr(generator)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(StochasticProcess obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
