Example #1
0
        private Sample <IPath> next(bool antithetic)
        {
            if (brownianBridge_)
            {
                Utils.QL_FAIL("Brownian bridge not supported");
                return(null);
            }

            Sample <List <double> > sequence_ =
                antithetic
            ? generator_.lastSequence()
            : generator_.nextSequence();

            int m = process_.size();
            int n = process_.factors();

            MultiPath path = (MultiPath)next_.value;

            Vector asset = process_.initialValues();

            for (int j = 0; j < m; j++)
            {
                path[j].setFront(asset[j]);
            }

            Vector temp;

            next_.weight = sequence_.weight;

            TimeGrid timeGrid = path[0].timeGrid();
            double   t, dt;

            for (int i = 1; i < path.pathSize(); i++)
            {
                int offset = (i - 1) * n;
                t  = timeGrid[i - 1];
                dt = timeGrid.dt(i - 1);
                if (antithetic)
                {
                    temp = -1 * new Vector(sequence_.value.GetRange(offset, n));
                }
                else
                {
                    temp = new Vector(sequence_.value.GetRange(offset, n));
                }

                asset = process_.evolve(t, asset, dt, temp);
                for (int j = 0; j < m; j++)
                {
                    path[j][i] = asset[j];
                }
            }
            return(next_);
        }
Example #2
0
        public MultiPathGenerator(StochasticProcess process, TimeGrid times, GSG generator, bool brownianBridge)
        {
            brownianBridge_ = brownianBridge;
            process_        = process;
            generator_      = generator;
            next_           = new Sample <IPath>(new MultiPath(process.size(), times), 1.0);

            Utils.QL_REQUIRE(generator_.dimension() == process.factors() * (times.size() - 1), () =>
                             "dimension (" + generator_.dimension()
                             + ") is not equal to ("
                             + process.factors() + " * " + (times.size() - 1)
                             + ") the number of factors "
                             + "times the number of time steps");
            Utils.QL_REQUIRE(times.size() > 1, () => "no times given");
        }