private (double M1, double M2) M(Vector <double> pricesVector, Vector <double> weightsVector, NumericMatrix <double> correlationMatrix, Vector <double> volatilityVector)
{
Vector <double> pricesWeightsVector = pricesVector * weightsVector;
double m1 = pricesWeightsVector.Sum();
NumericMatrix <double> volatilityMatrix = new NumericMatrix <double>(volatilityVector.Length, volatilityVector.Length, 0, 0);
for (int i = 0; i < volatilityVector.Length; i++)
{
for (int j = 0; j < volatilityVector.Length; j++)
{
volatilityMatrix[i, j] = volatilityVector[i] * volatilityVector[j] * correlationMatrix[i, j] * _t;
}
}
NumericMatrix <double> expMatrix = volatilityMatrix.Exp();
double m2 = 0;
for (int row = 0; row < expMatrix.Rows; row++)
{
m2 += (pricesWeightsVector * expMatrix.getRow(row)).Sum() * weightsVector[row] * pricesVector[row];
}
return(m1, m2);
}
