public override Matrix covariance(double t, Vector x)
{
Vector volatility = volaModel_.volatility(t, x);
Matrix correlation = corrModel_.correlation(t, x);
Matrix tmp = new Matrix(size_, size_);
for (int i = 0; i < size_; ++i)
{
for (int j = 0; j < size_; ++j)
{
tmp[i, j] = volatility[i] * correlation[i, j] * volatility[j];
}
}
return(tmp);
}
public double value(double t)
{
double v1, v2;
if (i_ == j_)
{
v1 = v2 = volaModel_.volatility(i_, t, null);
}
else
{
v1 = volaModel_.volatility(i_, t, null);
v2 = volaModel_.volatility(j_, t, null);
}
return(v1 * corrModel_.correlation(i_, j_, t, null) * v2);
}