// -> METHODS
// --------------------
public override void evolve(double dateFrom, double dateTo, int path,
IScenario scenario, double correlatedBrownians)
{
double currentValue;
double nextValue;
double incT = (dateTo - dateFrom) / 365.25;
try
{
currentValue = scenario.getValue(ID, dateFrom, path);
nextValue = currentValue * Math.Exp(_riskFreeRate*incT)
* Math.Exp(- (Math.Pow(_vol, 2) * (incT/2)) )
* Math.Exp(_vol * Math.Sqrt(incT) * correlatedBrownians);
scenario.setValue(ID, dateTo, path, nextValue);
}
catch
{
throw new Exception("Error in method evolve of risk factor " + ID + " from date " + dateFrom);
}
}
