public Dictionary <ScenType, double[]> GetScen(double[] rdIR, double[] rdEQ)
{
double[] dscrt = new double[EndMth];
double[] eq = new double[EndMth];
double[] fi = new double[EndMth];
double x = 0.0;
double t = 0.0;
double discFactor = 0.0;
double forward = 0.0;
for (int mth = 0; mth < EndMth; mth++)
{
t = Convert.ToDouble(mth) * dt;
forward = Curves.ForwardCurve[mth];
// 적용할인율
if (mth > 0)
{
x += -HW.a * x * dt + HW.sigma * Math.Sqrt(dt) * rdIR[mth];
}
discFactor = x + HW.Alpha(forward, t);
// 할인율 시나리오(연속 --> 이산)
dscrt[mth] = Math.Exp(discFactor) - 1.0;
// 채권, 5년 채권만 편입됨을 가정
double bondSigma = -HW.sigma * HW.B(t, t + 5);
fi[mth] = Math.Exp(discFactor - 0.5 * Math.Pow(bondSigma, 2.0) * dt
+ bondSigma * Math.Sqrt(dt) * rdIR[mth]) - 1.0;
// 주식
eq[mth] = Math.Exp((forward - 0.5 * Math.Sqrt(EqSigma)) * dt
+ EqSigma * Math.Sqrt(EqSigma) * rdEQ[mth]) - 1.0;
}
var res = new Dictionary <ScenType, double[]>();
res.Add(ScenType.Dscrt, dscrt);
res.Add(ScenType.FI, fi);
res.Add(ScenType.EQ, eq);
return(res);
}
