private static double StepVol(double start, double end, OrnsteinUhlenbeck ouProcess)
{
var step = end - start;
Debug.Assert(step >= 0.0);
var stepIntegralVar = OrnsteinUhlenbeckUtils.IntegratedVariance(ouProcess.Volatility, ouProcess.MeanReversion, start)
.Eval(end);
return(step > 0.0 ? Math.Sqrt(stepIntegralVar / step) : 0.0);
}
private static double StepDrift(double start, double end, OrnsteinUhlenbeck ouProcess)
{
return(OrnsteinUhlenbeckUtils.IntegratedDrift(ouProcess.Drift, ouProcess.MeanReversion, start).Eval(end));
}
