/// <summary>
/// Add extra dates to make sure that the minimum spacing is not too large to make the Monte Carlo errors bad.
/// <para/>
/// At this point the dates are all copied.
/// </summary>
public override void Prepare(Date anchorDate)
{
_anchorDate = anchorDate;
fM = date => _inputRate;
PM = date => Math.Exp(-_inputRate * (date - anchorDate) / 365.0);
double minStepSize = 20;
allDates.Insert(0, anchorDate);
allDates = allDates.Distinct().ToList();
allDates.Sort();
var newDates = new List <Date>();
newDates.Add(new Date(allDates[0]));
for (var i = 1; i < allDates.Count; i++)
{
var nSteps = (int)Math.Floor((allDates[i] - allDates[i - 1]) / minStepSize);
var days = (allDates[i] - allDates[i - 1]) / (nSteps + 1);
for (var j = 0; j < nSteps; j++)
{
newDates.Add(new Date(allDates[i - 1].AddTenor(Tenor.FromDays((j + 1) * days))));
}
newDates.Add(new Date(allDates[i]));
}
allDates = newDates;
allDatesDouble = allDates.Select(date => (double)date).ToArray();
}
/// <summary>
/// Add extra dates to make sure that the minimum spacing is not too large to make the Monte Carlo errors bad.
/// <para/>
/// At this point the dates are all copied.
/// </summary>
public override void Prepare(Date anchorDate)
{
_anchorDate = anchorDate;
_fM = date => _inputRate;
_pm = date => Math.Exp(-_inputRate * (date - anchorDate) / 365.0);
double minStepSize = 20;
_allDates.Insert(0, anchorDate);
_allDates = _allDates.Distinct().ToList();
_allDates.Sort();
var newDates = new List<Date>();
newDates.Add(new Date(_allDates[0]));
for (var i = 1; i < _allDates.Count; i++)
{
var nSteps = (int) Math.Floor((_allDates[i] - _allDates[i - 1]) / minStepSize);
var days = (_allDates[i] - _allDates[i - 1]) / (nSteps + 1);
for (var j = 0; j < nSteps; j++)
newDates.Add(new Date(_allDates[i - 1].AddTenor(Tenor.FromDays((j + 1) * days))));
newDates.Add(new Date(_allDates[i]));
}
_allDates = newDates;
_allDatesDouble = _allDates.Select(date => (double) date).ToArray();
_dist = new NormalDistribution();
Generator.Seed = -1585814591; // This magic number is: "HW1FSimulator".GetHashCode();
}
public HullWhite1F(Currency currency, double a, double vol, double r0, double rate, Date time0)
{
fM = date => rate;
PM = date => Math.Exp(-rate * (date - time0) / 365.0);
this.a = a;
this.vol = vol;
this.r0 = r0;
this.rate = rate;
this.time0 = time0;
forecastTenors = new Dictionary <MarketObservable, Tenor>();
this.currency = currency;
}
