/// <summary>
/// RNGs this instance.
/// </summary>
/// <returns></returns>
private IContinuousRng Rng(int seed)
{
IBasicRng basRng = new MCG31vsl(seed);
//IContinuousRng unifRng = new UniformRng(basRng,0,1);
var lhs = new BoxMullerGaussianRng(basRng, 0, 1);
return(lhs);
}
/// <summary>
/// Run an Euler-like simulation to generate paths of the OU-process
/// Evaluate function points using GetYValue()
/// </summary>
/// <param name="payoff"></param>
/// <param name="ratedays"></param>
/// <param name="rateamts"></param>
/// <param name="divdays"></param>
/// <param name="divamts"></param>
/// <param name="volSurface"></param>
/// <param name="spot"></param>
/// <param name="callstrike"></param>
/// <param name="putstrike"></param>
/// <param name="maturity"></param>
/// <param name="profiletimes"></param>
/// <param name="kappa"></param>
/// <param name="theta"></param>
/// <param name="sigma"></param>
/// <param name="tStepSize"></param>
/// <param name="sims"></param>
/// <returns></returns>
private static List <RiskStatistics> Euler(string payoff,
int[] ratedays,
double[] rateamts,
int[] divdays,
double[] divamts,
List <OrcWingParameters> volSurface,
double spot,
double callstrike,
double putstrike,
double maturity,
double[] profiletimes,
double kappa,
double theta,
double sigma,
double confidence,
double tStepSize,
int sims,
int seed
)
{
double[] times = CreateTimeGrid(profiletimes, tStepSize);
int n = times.Length;
int profilepoints = profiletimes.Length;
double lns0 = Math.Log(spot);
IBasicRng basRng = new MCG31vsl(seed);
//IContinousRng unifRng = new UniformRng(basRng,0,1);
BoxMullerGaussianRng gen = new BoxMullerGaussianRng(basRng, 0, 1);
double[] lns = new double[n];
double[] results = new double[profilepoints];
List <double> _profileTimeList = new List <double>(profiletimes);
List <RiskStatistics> samples = new List <RiskStatistics>(profilepoints);
for (int idx = 0; idx < profilepoints; idx++)
{
samples.Add(new RiskStatistics());
}
for (int kdx = 0; kdx < sims; kdx++)
{
int jdx = 0;
double wdt = gen.NextDouble() * Math.Sqrt(times[0]);
lns[0] = theta + Math.Exp(-kappa * times[0]) * (lns0 - theta) + sigma * wdt;
for (int idx = 1; idx < n; idx++)
{
double dt = times[idx] - times[idx - 1];
wdt = gen.NextDouble() * Math.Sqrt(dt);
lns[idx] = theta + Math.Exp(-kappa * dt) * (lns[idx - 1] - theta) + sigma * wdt;
if (_profileTimeList.Contains(times[idx]))
{
double y = GetYValue(payoff, ratedays, rateamts, divdays, divamts, volSurface, spot, Math.Exp(lns[idx]), callstrike, putstrike, times[idx], maturity, confidence);
samples[jdx++].Add(y);
}
}
}
return(samples);
}
