/// <summary>
/// Generate next path.
/// </summary>
/// <returns>
/// An array containing a single <see cref="Path"/>,
/// wrapped in a (possibly weighted) <see cref="Sample"/>.
/// </returns>
public override Sample Next()
{
var paths = new Path[1];
var sample = ArrayGenerator.NextSample(); // get a weighted SparseVector
paths[0] = new Path(Times, Drift[0], (SparseVector)sample.Value);
return(new Sample(paths, sample.Weight));
}
/// <summary>
/// Generate next paths.
/// </summary>
/// <returns>
/// An array containing <see cref="PathGenerator.Count"/> <see cref="Path"/>s,
/// wrapped in a (possibly weighted) <see cref="Sample"/>.
/// </returns>
public override Sample Next()
{
Matrix diffusion = new Matrix(Count, TimeSteps);
double weight = 1.0;
for (int i = 0; i < TimeSteps; i++)
{
Sample sample = ArrayGenerator.NextSample(); // get a weighted SparseVector
weight *= sample.Weight;
SparseVector v = (SparseVector)sample.Value;
v.Multiply(Math.Sqrt(TimeDelays.Data[i]));
v.Copy(diffusion.Column(i));
}
Path[] paths = new Path[Count];
for (int j = 0; j < Count; j++)
{
paths[j] = new Path(Times, Drift[j], diffusion.Row(j));
}
return(new Sample(paths, weight));
}
