private double vgB(int j)
{
//Calculates the B coefficient at each step
double u1 = NR.Expint(1, j * deltS * lambda_n);
double u2 = NR.Expint(1, (M - j) * deltS * lambda_p);
return(1 + r * deltT + Bn + Bp + (deltT / nu) * (u1 + u2));
}
private void PrepPreCalc()
{
//Pre-calculates the four main vectors based on expint
expintN = new double[M + 1];
expintP = new double[M + 1];
expLambdaN = new double[M + 1];
expLambdaP = new double[M + 1];
for (int k = 0; k < M + 1; k++)
{
expintN[k] = NR.Expint(1, (k + 1) * deltS * lambda_n);
expintP[k] = NR.Expint(1, (k + 1) * deltS * lambda_p);
expLambdaN[k] = Math.Exp(-lambda_n * (k + 1) * deltS);
expLambdaP[k] = Math.Exp(-lambda_p * (k + 1) * deltS);
spotPrice[k] = Math.Exp(x_index[k]);
}
}
private double vgH(int l, int j, int i)
{
//Calculates the Heaviside term at each step, takes the exercise boundary as input from the x_j function
double sum1 = 0, sum2 = 0;
double u1 = r * K - q * spotPrice[j];
if (l <= j)
{
return(0);
}
for (int k = l - j; k <= M - j - 1; k++)
{
sum1 += (1 / nu) * (mainGrid[j + k, i] - k * (mainGrid[j + k + 1, i] - mainGrid[j + k, i])) * (expintP[k - 1] - expintP[k]);
}
for (int k = l - j; k <= M - j - 1; k++)
{
sum2 += ((mainGrid[j + k + 1, i] - mainGrid[j + k, i]) / (lambda_p * nu * deltS)) * (expLambdaP[k - 1] - expLambdaP[k]);
}
double u2 = (1 / nu) * (K * NR.Expint(1, (l - j) * deltS * lambda_p) - spotPrice[j] * NR.Expint(1, (l - j) * deltS * (lambda_p - 1)));
return(u1 - sum1 - sum2 + u2);
}
private double vgR(int j, int i)
{
//Calculates the R coefficient at each step
double sum1 = 0, sum2 = 0, sum3 = 0, sum4 = 0;
for (int k = 1; k <= j - 1; k++)
{
sum1 += (mainGrid[j - k, i] - mainGrid[j, i] - k * (mainGrid[j - k - 1, i] - mainGrid[j - k, i])) * (expintN[k - 1] - expintN[k]);
}
for (int k = 1; k <= j - 1; k++)
{
sum2 += ((mainGrid[j - k - 1, i] - mainGrid[j - k, i]) / (lambda_n * deltS)) * (expLambdaN[k - 1] - expLambdaN[k]);
}
for (int k = 1; k <= M - j - 1; k++)
{
sum3 += (mainGrid[j + k, i] - mainGrid[j, i] - k * (mainGrid[j + k + 1, i] - mainGrid[j + k, i])) * (expintP[k - 1] - expintP[k]);
}
for (int k = 1; k <= M - j - 1; k++)
{
sum4 += ((mainGrid[j + k + 1, i] - mainGrid[j + k, i]) / (lambda_p * deltS)) * (expLambdaP[k - 1] - expLambdaP[k]);
}
return(sum1 + sum2 + sum3 + sum4 + (K * NR.Expint(1, j * deltS * lambda_n)) - (spotPrice[j] * NR.Expint(1, j * deltS * (lambda_n + 1))));
}