public static double[] simulateHist(int steps, double initialPrice, int seed, IDescretized bm)
{
Random r = new Random();
double[] result = new double[steps];
RandomGen randomNorm = new RandomGen(seed);
result[0] = initialPrice;
for (int i = 1; i < steps; ++i)
{
result[i] = bm.NextPrice(result[i - 1], randomNorm.NextDouble(bm.mean, bm.sigma));
}
return result;
}
public MCGenerator(double inMean, double inSigma, double inDeltaT = 1.0)
{
bm = new BrownianMotion(inMean, inSigma, inDeltaT);
}
public static double simulate(int steps, double initialPrice, int seed, IDescretized bm)
{
double result = initialPrice;
RandomGen randomNorm = new RandomGen(seed);
for (int i = 0; i < steps; ++i)
{
result = bm.NextPrice(result, randomNorm.NextDouble(bm.mean, bm.sigma));
}
return result;
}
