public Tuple <ISde, FdmBase, IRng> Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde sde = GetSde();
IRng rng = GetRng();
FdmBase fdm = GetFdm(sde);
return(new Tuple <ISde, FdmBase, IRng>(sde, fdm, rng));
}
public event EndOfSimulation <double> finish; // Signals that all paths are complete
public MCMediator(Tuple <ISde, FdmBase, IRng> parts, int numberSimulations)
{
sde = parts.Item1;
fdm = parts.Item2;
rng = parts.Item3;
NSim = numberSimulations;
res = new double[fdm.NT];
}
public Tuple <ISde <double>, FdmBase <double>, IRng <double> > Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde <double> sde = GetSde();
IRng <double> rng = GetRng();
FdmBase <double> fdm = GetFdm(sde);
return(new Tuple <ISde <double>, FdmBase <double>, IRng <double> >(sde, fdm, rng));
}
public Tuple <ISde, FdmBase, IRng> Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde sde = GetSde();
IRng rng = GetRng();
FdmBase fdm = GetFdm(sde);
Payoff payoff = x => Math.Max(0.0, K - x);
//Payoff payoff = x => Math.Max(0.0, x - K);
Func <double> discounter = () => Math.Exp(-r * T);
IPricer pricer = GetPricer(payoff, discounter);
return(new Tuple <ISde, FdmBase, IRng>(sde, fdm, rng));
}
public MCMediator(Tuple <ISde, FdmBase, IRng> parts, PathEvent <double> optionPaths,
EndOfSimulation <double> finishOptions, int numberSimulations)
{
sde = parts.Item1;
fdm = parts.Item2;
rng = parts.Item3;
// Define slots for path information
path = optionPaths;
// Signal end of simulation
finish = finishOptions;
NSim = numberSimulations;
res = new double[fdm.NT + 1];
mis = i => { if ((i / 10000) * 10000 == i)
{
Console.WriteLine("Iteration # {0}", i);
}
};
}
