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);
}
