public void Setup(double[] SimulationDates)
{
double dt = SimulationDates[1] - SimulationDates[0];//assumes constant dt
a = Math.Exp(-lambda.fV() * dt);
b = mu.fV() * (1 - Math.Exp(-lambda.fV() * dt));
c = sigma.fV() * Math.Sqrt((1 - Math.Exp(-2 * lambda.fV() * dt)) / (2 * lambda.fV()));
}
public void Simulate(double[] Dates, IReadOnlyMatrixSlice Noise, IMatrixSlice OutDynamic)
{
OutDynamic[0, 0] = spot.fV();
for (int i = 1; i < Dates.Length; i++)
{
OutDynamic[i, 0] = a * OutDynamic[i - 1, 0] + b + c * Noise[i - 1, 0];
}
}
