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 McModel(IFactorModelRepresentation factorRepresentation,
DateTime[] simulatedDates,
IRandomGenerator randomGenerator,
BrownianBridge brownianBridge,
IProcessPathGenerator processPathGen,
PaymentInfo probaMeasure, double numeraire0)
{
Numeraire0 = numeraire0;
ProbaMeasure = probaMeasure;
ProcessPathGen = processPathGen;
RandomGenerator = randomGenerator;
BrownianBridge = brownianBridge;
SimulatedDates = simulatedDates;
FactorRepresentation = factorRepresentation;
}
public McModel Build(IModel model, Market market, DateTime[] simulatedDates)
{
PaymentInfo probaMeasure = ProbaMeasure(simulatedDates, model);
var factorRepresentationFactory = FactorRepresentationFactories.For(model);
IFactorModelRepresentation factorRepresentation = factorRepresentationFactory.Build(model, market, probaMeasure);
var modelPathGenFactory = ModelPathGeneratorFactories.For(model, mcConfig);
IProcessPathGenerator processPathGenerator = modelPathGenFactory.Build(model, market, probaMeasure, simulatedDates);
BrownianBridge brownianBridge = BrownianBridge.Create(processPathGenerator.AllSimulatedDates);
int randomDim = brownianBridge.GaussianSize(processPathGenerator.ProcessDim);
IRandomGenerator randomGenerator = mcConfig.RandomGenerator.Build(randomDim);
double numeraire0 = market.DiscountCurve(probaMeasure.Financing).Zc(probaMeasure.Date);
return(new McModel(factorRepresentation, simulatedDates,
randomGenerator, brownianBridge, processPathGenerator,
probaMeasure, numeraire0));
}
