public void ValidateDensity(double mu, double sigma, double x, double p)
{
var n = new LogNormal(mu, sigma);
AssertHelpers.AlmostEqual(p, n.Density(x), 14);
AssertHelpers.AlmostEqual(p, LogNormal.PDF(mu, sigma, x), 14);
}
public double density(
double tStart, double tEnd,
double stateStart, double stateEnd)
{
double mean = (Mu - 0.5 * Sigma * Sigma) * (tEnd - tStart);
double sigma = Sigma * Math.Sqrt(tEnd - tStart);
return(LogNormal.PDF(mean, sigma, stateEnd / stateStart));
}