All pastes #64304 Raw Edit

pol

public cpp v1 · immutable
#64304 ·published 2006-06-11 14:16 UTC
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			if (useImportanceSampling) {				Matrix& ISD = getISDynamicState();				Matrix isMeans = ISD.Column(1);				Matrix isVariances = ISD.Column(2);				// apply the importance sampling and calculate				// the next likelihood ratio				// apply the custom importance sampling				for (int i=1; i<=isVariances.Rows(); i++) {					isMeans(i,1)+=ISD(i,3)*assetPaths[i]->operator ()(lPath,lTime-1) / ISD(1,4);					isDeviates(i,1)=(sqrt(isVariances(i,1))*isDeviates(i,1))+isMeans(i,1);				}				likelihoodRatios(lPath,lTime)=likelihoodRatios(lPath,lTime-1)*U.mutliLRatioDiagonal(isDeviates,isMeans,isVariances);			}