public ProcessPathFlowGenerator(BrownianBridge brownianBridge, IProcessPathGenerator processPathGen, IPathFlowCalculator <TFlow, TLabel> flowPathCalculator) { this.brownianBridge = brownianBridge; this.processPathGen = processPathGen; this.flowPathCalculator = flowPathCalculator; dWs = ArrayUtils.CreateJaggedArray <double>(brownianBridge.Dates.Length, 1); }
public ProductPathFlowCalculator(IPathFlowCalculator <double[], IFixing[]> fixingPathCalculator, IPathFlowCalculator <double[], PaymentInfo[]> numerairePathCalc, IProductPathFlow productPathFlow) { this.fixingPathCalculator = fixingPathCalculator; this.numerairePathCalc = numerairePathCalc; this.productPathFlow = productPathFlow; //Buffers initialization fixingsPath = fixingPathCalculator.NewPathFlow(); numerairePath = numerairePathCalc.NewPathFlow(); }