/// <summary>
/// Gets the collar PCE.
/// </summary>
/// <param name="ratedays">The ratedays.</param>
/// <param name="rateamts">The rateamts.</param>
/// <param name="divdays">The divdays.</param>
/// <param name="divamts">The divamts.</param>
/// <param name="volSurface">The vol surface.</param>
/// <param name="spot">The spot.</param>
/// <param name="callstrike">The callstrike.</param>
/// <param name="putstrike">The putstrike.</param>
/// <param name="maturity">The maturity of the collar</param>
/// <param name="meanrev">The meanrev parameter used in the OU dynamics.</param>
/// <param name="histvol">The historical vol estimate used in the OU dynamics.</param>
/// <param name="timeSlice">The time slice.</param>
/// <returns></returns>
public static double[,] GetCollarPCE(string payoff,
int[] ratedays,
double[] rateamts,
int[] divdays,
double[] divamts,
List <OrcWingParameters> volSurface,
double spot,
double callstrike,
double putstrike,
double maturity,
double kappa,
double theta,
double sigma,
double[] profiletimes,
double confidence,
double tstepSize,
int simulations,
int seed)
{
int nprofile = profiletimes.Length;
double[,] results = new double[nprofile, 3];
List <double> profileList = new List <double>(profiletimes);
List <double> _profiletimes = profileList.FindAll(delegate(double item) { return(item <= maturity); });
List <RiskStatistics> res = Euler(payoff,
ratedays,
rateamts,
divdays,
divamts,
volSurface,
spot,
callstrike,
putstrike,
maturity,
_profiletimes.ToArray(),
kappa,
theta,
sigma,
confidence,
tstepSize,
simulations,
seed);
for (int idx = 0; idx < _profiletimes.Count; idx++)
{
Statistics.Statistics stats = new Statistics.Statistics();
double[] sample = res[idx].Sample();
double mean = res[idx].Mean;
double sterrEst = res[idx].ErrorEstimate;
results[idx, 0] = mean;
results[idx, 1] = stats.Percentile(ref sample, cPercentile);
results[idx, 2] = sterrEst;
}
return(results);
}
