public double calculatePq(intensityObject intensititer, double start, double s**t)
{
CashFlowTool cashflowtool = new CashFlowTool();
double P00 = cashflowtool.muProbability00(intensititer, start, s**t, "");
return(P00 * MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => intensititer.rFunction(y) * (cashflowtool.tekniskReserve_circle(y, intensititer) / cashflowtool.tekniskReserve_dagger(y, intensititer)), start, s**t));
}
static void Main(string[] args)
{
var timeHorizon = 100;
var gridPoints = 1;
//var testESG = new BSESG(T:TimeHorizon);
//var testscenario = testESG.Simulate();
////var simpletest = new FinancialObject(null, 1);
//var test = new FinancialObject2(0.3, 1, TimeHorizon, testscenario);
////simpletest.WriteData("C:/Users/Steffen/Dropbox (Keylane)/Speciale/Data/simpletest.csv");
//test.WriteData("C:/Users/Steffen/Dropbox (Keylane)/Speciale/Data/test.csv");
var cashflowtool = new CashFlowTool();
var intensititer = new intensityObject(0.1, 0.01, 0.01, timeHorizon, gridPoints, 0, 0, null, null, null, null);
intensititer.simulate("");
intensititer.exportTxt();
// PW-means //
// TODO: Sim r and mu
// TODO: Then calculate transition probs P^mu and forward rates
// The E[a^circle|r and mu up till time t] cashflow
double result = findResult(timeHorizon, cashflowtool, intensititer, "ikke cor", "marginal");
Console.WriteLine("Bonus værdi helt standard");
double r = result / timeHorizon;
Console.WriteLine(r.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "ikke cor", "simulation");
Console.WriteLine("Bonus værdi helt standard, men fundet med sim");
double p = result / timeHorizon;
Console.WriteLine(p.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "cor", "marginal");
Console.WriteLine("Bonus værdi med cor men med marginale");
double q = result / timeHorizon;
Console.WriteLine(q.ToString());
result = findResult(timeHorizon, cashflowtool, intensititer, "cor", "simulation");
Console.WriteLine("Bonus værdi med cor men med simulation");
double s = result / timeHorizon;
Console.WriteLine(s.ToString());
}
private static double findResult(int timeHorizon, CashFlowTool cashflowtool, intensityObject intensititer, String simMethod, String approxMethod)
{
var aCircle = new double[timeHorizon + 1, timeHorizon + 1];
var ab = new double[timeHorizon + 1, timeHorizon + 1];
var interestContainer = new List <double[]>(timeHorizon);
ab[0, 0] = 0;
ab[1, 0] = 0;
double result = 0;
for (int scenario = 0; scenario < timeHorizon; scenario++)
{
intensititer.simulate(simMethod);
double[] Q = cashflowtool.calculateQ(intensititer);
double[] forward = cashflowtool.forward00(intensititer, 0, timeHorizon, approxMethod);
for (int time_i = 1; time_i <= timeHorizon; time_i++)
{
//CALCULATING NECESSARY CONTROLS
// DERIVING CONTROLS
double eta = 0;
double delta_1 = 0;
// double delta_0 = cashflowtool.tekniskReserve_circle(time_i, intensititer) * (intensititer.r[time_i-1] - intensititer.tekniskr(time_i));
// Calculating PQ
// double Pq = cashflowtool.calculatePq(intensititer, 0, time_i);
// Payments
double b_0_circ = 1; double b_01_circ = 2; double b_02_circ = 3;
double b_0_dagger = 1; double b_01_dagger = 0; double b_02_dagger = 0;
aCircle[scenario, time_i] = cashflowtool.muProbability00(intensititer, 0, time_i, "") * b_0_circ + cashflowtool.muProbability01(intensititer, 0, time_i, "") * b_01_circ + cashflowtool.muProbability02(intensititer, 0, time_i, "") * b_02_circ;
ab[scenario, time_i] = Q[time_i] * forward[time_i] * b_0_dagger;
interestContainer.Add(intensititer.r); // need to hold the interest curve for later sum
}
}
for (int scenario = 0; scenario < timeHorizon; scenario++)
{
double scenarioResult = 0;
for (int time = 0; time < timeHorizon - 1; time++)
{
scenarioResult += Math.Exp(-MathNet.Numerics.Integration.SimpsonRule.IntegrateThreePoint(y => rFunctionInx(y, interestContainer[scenario], intensititer), 0, time + 0.5)) * ((ab[0, time] + ab[0, time + 1]) / 2);
}
result += scenarioResult;
}
return(result);
}
private double Vbarcircstjern(intensityObject intensiteter, double x)
{
CashFlowTool tool = new CashFlowTool();
return(tool.muProbability00(intensiteter, 0, x, "") * tool.tekniskReserve_circle(x, intensiteter));
}
static double funcQ(double x, double y, intensityObject intensiteter)
{
CashFlowTool tool = new CashFlowTool();
return(intensiteter.rFunction(x) * (((tool.Vbarcircstjern(intensiteter, x) / tool.Vbardaggerstjern(intensiteter, x)) + y)));
}
