private static double StepVol(double start, double end, OrnsteinUhlenbeck ouProcess)
{
var step = end - start;
Debug.Assert(step >= 0.0);
var stepIntegralVar = OrnsteinUhlenbeckUtils.IntegratedVariance(ouProcess.Volatility, ouProcess.MeanReversion, start)
.Eval(end);
return(step > 0.0 ? Math.Sqrt(stepIntegralVar / step) : 0.0);
}
public static OrnsteinUhlenbeck1DGenerator Build(double[] dates, OrnsteinUhlenbeck ouProcess)
{
var stepSlopes = new double[dates.Length];
var stepDrifts = new double[dates.Length];
var stepVols = new double[dates.Length];
for (int i = 0; i < dates.Length; i++)
{
var previous = (i == 0) ? 0.0 : dates[i - 1];
var step = dates[i] - previous;
stepSlopes[i] = Math.Exp(-ouProcess.MeanReversion * step);
stepDrifts[i] = StepDrift(previous, dates[i], ouProcess);
stepVols[i] = StepVol(previous, dates[i], ouProcess);
}
return(new OrnsteinUhlenbeck1DGenerator(dates, ouProcess.Value0, stepSlopes, stepDrifts, stepVols));
}
private static double StepDrift(double start, double end, OrnsteinUhlenbeck ouProcess)
{
return(OrnsteinUhlenbeckUtils.IntegratedDrift(ouProcess.Drift, ouProcess.MeanReversion, start).Eval(end));
}
