void AmericanOption::trainingpaths_erstellen(int l) {
RNG generator;
double** wdiff = DoubleFeld(N, D);
for (int m = 0; m < Mtraining(l); ++m) {
if (l == 0 || m >= Mtraining(l - 1)) {
for (int d = 0; d < D; ++d)
for (int n = 0; n < N; ++n)
if (m % 2 == 0)
wdiff[n][d] = generator.nextGaussian() * sqrt(dt);
else
wdiff[n][d] *= -1.;
Pfadgenerieren(X[l][m], wdiff, 0, X0);
} else
for (int d = 0; d < D; ++d)
for (int n = 0; n < N; ++n)
X[l][m][n][d] = X[l - 1][m][n][d];
}
deleteDoubleFeld(wdiff, N, D);
}
void AmericanOption::addLevelPath(int l) {
static RNG generator;
double** XX = NULL;
double ** wdiff = NULL;
wdiff = DoubleFeld(N, D);
XX = DoubleFeld(N, D);
for (int d = 0; d < D; ++d)
for (int n = 0; n < N; ++n)
wdiff[n][d] = generator.nextGaussian() * sqrt(dt);
Pfadgenerieren(XX, wdiff, 0, X0);
double e1 = Pfad(XX, l);
Levelergs[l].push_back(e1);
deleteDoubleFeld(XX, N, D);
deleteDoubleFeld(wdiff, N, D);
}
void AmericanOption::Pfadgenerieren(double** X, double** wdiff, int start,
double * S) {
for (int j = 0; j < D; ++j)
X[start][j] = S[j];
// if (PfadModell == GENERISCHE) {
// for (int n = start + 1; n < N; ++n)
// for (int d = 0; d < D; ++d)
// X[n][d] = xi(wdiff[n][d]);
// }
if (PfadModell == ITO) {
for (int n = start + 1; n < N; ++n)
for (int d = 0; d < D; ++d)
X[n][d] = X[n - 1][d]
* exp(
(((r - delta) - 0.5 * sigma[d] * sigma[d]) * dt
+ sigma[d] * wdiff[n][d]));
return;
}
if (PfadModell == LIBOREXP) {
double wdiff[D];
for (int n = start + 1; n < N; ++n) {
double** zwischen = DoubleFeld(6, D);
for (int d = 0; d < D; ++d)
zwischen[0][d] = (X[n - 1][d]);
double DDT = sqrt(dt / 5.);
double RZWISCHEN[D];
double GG[D];
double G[D];
static RNG generator;
for (int schritt = 1; schritt < 6; schritt++) {
for (int d = 0; d < DrivingFactors; ++d)
wdiff[d] = DDT * generator.nextGaussian();
double t = (double) (n - 1) * dt
+ 0.05 * ((double) schritt - 0.5);
zwischen[schritt][0] = log(S[0]);
for (int d = 0; d < D; ++d) {
RZWISCHEN[d] = (zwischen[schritt - 1][d]);
G[d] = 0.2 * g((double) d * dt - t);
GG[d] = pow(
0.2
* g(
(double) (d + 1) * dt
+ 0.05
* ((double) schritt
- 0.5)), 2);
}
for (int i = n; i < D; ++i) {
double driftsum = 0;
for (int j = n; j <= i; ++j)
driftsum += dt * RZWISCHEN[j] * G[i] * G[j]
* corr[i - 1][j - 1] / (1. + dt * RZWISCHEN[j]);
zwischen[schritt][i] = zwischen[schritt - 1][i]
* exp(
(driftsum - 0.5 * GG[i - n]) * 0.05
+ G[i]
* prod(chol[i - 1], wdiff,
DrivingFactors));
}
}
for (int d = 0; d < D; ++d) {
X[n][d] = zwischen[5][d];
if (d < n)
X[n][d] = X[n - 1][d];
}
deleteDoubleFeld(zwischen, 6, D);
}
}
// deleteDoubleFeld(wdiff, D);
if (X[N - 1][0] < 0)
printf("Error0\n");
//if(generator_noch_loeschen)delete generator;
}
