private double KLExpansion(double s, double t)
{ // W(s) - W(t) for s > t
double result = 0.0;
for (int n = 0; n <= N; n++)
{
result += (OrthogonalFunction(s, n) - OrthogonalFunction(t, n)) * rng.GenerateRn();
}
return(result);
}
public void start()
{
T VOld, VNew;
for (long i = 1; i <= NSim; ++i)
{ // Calculate a path at each iteration
if ((i / 5000) * 5000 == i)
{ // Give status after a given numbers of iterations
Console.WriteLine(i);
}
VOld = sde.InitialCondition; res[0] = VOld;
for (int n = 1; n < res.Length; n++)
{ // Compute the solution at level n+1
VNew = fdm.advance(VOld, fdm.x[n - 1], fdm.k, rng.GenerateRn(), rng.GenerateRn());
res[n] = VNew; VOld = VNew;
}
path(ref res);
}
finish();
}
public void start()
{ // Main event loop for path generation
double VOld, VNew;
for (int i = 1; i <= NSim; ++i)
{ // Calculate a path at each iteration
// if ((i / 5000) * 5000 == i)
{ // Give status after a given numbers of iterations
mis(i);
}
VOld = sde.InitialCondition; res[0] = VOld;
for (int n = 1; n < res.Length; n++)
{ // Compute the solution at level n+1
VNew = fdm.advance(VOld, fdm.x[n - 1], fdm.k, rng.GenerateRn(), rng.GenerateRn());
res[n] = VNew; VOld = VNew;
}
// Send path data to the Pricers
path(ref res);
}
finish(); // Signal to pricers to finish up
}