public void ComputePath(ref PathFlows <TFlow, TLabel> path, double[] gaussians)
        {
            brownianBridge.FillPathIncrements(ref dWs, gaussians);
            IProcessPath processPath = processPathGen.Path(dWs);

            flowPathCalculator.ComputeFlows(ref path, processPath);
        }
Exemple #2
0
 public void ComputeFlows(ref PathFlows <double, CouponFlowLabel> pathFlows, IProcessPath processPath)
 {
     fixingPathCalculator.ComputeFlows(ref fixingsPath, processPath);
     numerairePathCalc.ComputeFlows(ref numerairePath, processPath);
     productPathFlow.ComputePathFlows(ref pathFlows, fixingsPath, numerairePath);
 }