public override void Reset()
{
PseudoRandom rsg = new PseudoRandom();
_pg = rsg.make_sequence_generator(_process.size() * (_grid.size() - 1), _seed) as MultiPathGenerator <InverseCumulativeRsg <RandomSequenceGenerator <MersenneTwisterUniformRng>, InverseCumulativeNormal> >;
}
public void build_irHistoryData(DateTime startDate, DateTime endDate, bool withClear)
{
CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
PseudoRandom random = new PseudoRandom();
//RandomSequenceGenerator<MersenneTwisterUniformRng> randGen = random.make_sequence_generator(1000, 1) as RandomSequenceGenerator<MersenneTwisterUniformRng>;
int genNum = Convert.ToInt32((endDate - startDate).TotalDays) * this.sampleIR_.Count;
IRNG randGen = random.make_sequence_generator(genNum, Convert.ToUInt64(this.random_.Next())) as IRNG;
int i = 0;
Sample<List<double>> sample = randGen.nextSequence();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
foreach (VasicekParameter para in this.sampleIR_)
{
SquareRootProcess vasicek = new SquareRootProcess(para.LongTermRate_, para.Speed_, para.Vol_ , para.Initial_);
clstb.INDEX_CD = para.Name_;
if (withClear)
{
clstb.DeleteIndex();
clstb.REF_DT = startDate.ToString("yyyyMMdd");
clstb.LAST = para.Initial_;
clstb.LOW = para.Initial_;
clstb.HIGH = para.Initial_;
clstb.Insert();
}
DateTime roopDate = startDate;
DateTime nextDate = cm.adjust(roopDate, "1D");
while (nextDate < endDate)
{
clstb.REF_DT = roopDate.ToString("yyyyMMdd");
nextDate = cm.adjust(roopDate, "1D");
this.irData(para.Name_, vasicek, sample.value[i], roopDate, nextDate);
roopDate = nextDate;
i += 1;
}
}
}
