public double HW_CAP_CM(double t0, double tAlpha, double[] taoArray, double x, double n, int num)
{
// 3.37
Func <double, double> alphaFunc = t => MarketF(t) +
Pow(this.Sigma(), 2) / (2 * Pow(this.A(), 2)) *
Pow(1 - Exp(-this.A() * t), 2);
var mu = MarketF(0) * Exp(-this.A() * t0) + alphaFunc(t0) -
alphaFunc(0) * Exp(-this.A() * t0);
var sigma = Pow(this.Sigma(), 2) / (2 * Pow(this.A(), 2)) *
Pow(1 - Exp(-2 * this.A() * t0), 2);
var sampleFunc = MonteCarloSimulation.GenerateSamples(
num, 0.Wrap(), (t, rt) => HW_Caps(t0, tAlpha, taoArray, x, n, rt), mu.Wrap(), sigma.Wrap());
var samples = sampleFunc();
return(samples.Average());
}
private double[] HW_R_CM(double s, double rs, double t0, int n)
{
// 3.37
if (t0 == s)
{
return new[] { rs }
}
;
var sigma = this.Sigma();
var a = this.A();
double AlphaFunc(double t) => MarketF(t) +
Pow(sigma, 2) / (2 * Pow(a, 2)) * Pow(1 - Exp(-a * t), 2);
var mu = rs * Exp(-a * (t0 - s)) + AlphaFunc(t0) -
AlphaFunc(s) * Exp(-a * (t0 - s));
var stdvar = Pow(sigma, 2) / (2 * Pow(a, 2)) *
Pow(1 - Exp(-2 * a * (t0 - s)), 2);
var sampleFunc = MonteCarloSimulation.GenerateSamples(
n, 0.Wrap(), (t, x) => x, mu.Wrap(), stdvar.Wrap());
var samples = sampleFunc();
return(samples);
}