/// <summary>
/// Calculates the PV using Gauss Hermite quadrature if at least one scenario needs it.
/// </summary>
private void CalculateNumericalPV(Vector numericalPv, Vector isUnique, Vector[] stdDev, Vector[] coefficient, Vector[] coupon)
{
if (isUnique.MinElement() == 0.0)
{
double delta = fSwaptionDeal.Payer_Receiver == PayerReceiver.Payer ? 1.0 : -1.0;
// At least one scenario needs numerical integration
CalcUtils.GaussianQuadratureIntegral(numericalPv, (vout, y) =>
{
vout.Clear();
VectorEngine.For(0, coupon.Length, i =>
{
vout.Subtract(CalcUtils.SafeExpMultiply(stdDev[i] * y, delta * coupon[i] * coefficient[i]));
return(LoopAction.Continue);
});
vout.Assign(VectorMath.Max(vout, 0.0));
}, fQuadrature.Value);
}
}
