/// <summary>
/// Step forward in time over the interval provided
/// </summary>
/// <param name="interval"></param>
public void Step(TimeInterval interval)
{
if (_currentDateTime != interval.Previous) throw new ArgumentException("intervals are not continuous");
foreach (var set in _simulationSets)
{
// this provides another axis for parallelising the code
foreach (var model in set.Models)
{
model.StepNext(interval);
}
}
_currentDateTime = interval.Next;
}
public void StepNext(TimeInterval timeStep)
{
int timeIndex = timeStep.Index;
var S = NArray.CreateScalar(0);
double tenor = timeStep.IntervalInYears;
for (int factorIndex = 0; factorIndex < _factors.Length; ++factorIndex)
{
S += (Sigma(factorIndex) / Lambda(factorIndex))
* (_factorPaths[factorIndex][timeIndex] + _weinerPaths[factorIndex][timeIndex]);
}
double drift = GetDrift(timeIndex);
_state[timeIndex] = NMath.Exp(-0.5 * drift + S);
}
public abstract void StepNext(TimeInterval interval);
public abstract NArray Step(TimeInterval timeStep, NArray previous);
