C# Class HistoricalSimulator.HistoricalSimulator

Inheritance: IFullSimulator, IExtensibleProcess, IParsable

Private Properties

Property	Type	Description
NearestDate	System.DateTime
NearestDateIndex	int

Method	Description
ExportObjects ( bool recursive ) : List	Creates a list of all the sub-objects that can be edited.
HistoricalSimulator ( ) : System	Initializes the object.
Parse ( IProject context ) : bool	Parses the process (in this case nothing has to be done).
Setup ( double simulationDates ) : void	Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.
Simulate ( double dates, IReadOnlyMatrixSlice noise, IMatrixSlice outDynamic ) : void	Simulate a realization of the stochastic process driven by the noise matrix noise. This function is called once for realization.

Method	Description
NearestDate ( System.DateTime referenceDate, System.DateTime dateA, System.DateTime dateB ) : System.DateTime	Gets the nearest date to the reference date between the given dates.
NearestDateIndex ( System.DateTime referenceDate, System.DateTime dates ) : int	Gets the nearest date index to the reference date between the dates contained in the array.

Creates a list of all the sub-objects that can be edited.

public ExportObjects ( bool recursive ) : List
recursive	bool	The parameter is not used.
return	List

Initializes the object.

public HistoricalSimulator ( ) : System
return	System

Parses the process (in this case nothing has to be done).

public Parse ( IProject context ) : bool
context	IProject	The project representing the context of the parsing.
return	bool

Called by Simulator after parse. Initializes here time-dependant but not state dependent variables.

public Setup ( double simulationDates ) : void
simulationDates	double	/// The dates at which the process realizations will be requested. ///
return	void

Simulate a realization of the stochastic process driven by the noise matrix noise.

This function is called once for realization.

public Simulate ( double dates, IReadOnlyMatrixSlice noise, IMatrixSlice outDynamic ) : void
dates	double	/// The dates (in years fractions) at which the process must be simulated. ///
noise	IReadOnlyMatrixSlice	The matrix of IID normal realizations.
outDynamic	IMatrixSlice	Where the dynamic should be written.
return	void