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  1. using System;
  2. using System.Linq;
  3.  
  4. struct ShortRateTreeNode
  5. {
  6.     public double DF;
  7.     public double PU;
  8.     public double PM;
  9.     public double PD;
  10.     public int IU;
  11.     public int IM;
  12.     public int ID;
  13.  
  14.     public ShortRateTreeNode(double df, double pu, double pm, double pd, int iu, int im, int id)
  15.     {
  16.         this.DF = df;
  17.         this.PU = pu;
  18.         this.PM = pm;
  19.         this.PD = pd;
  20.         this.IU = iu;
  21.         this.IM = im;
  22.         this.ID = id;
  23.     }
  24. }
  25.  
  26. class Program
  27. {
  28.     static double[] InduceForward(double[] values, ShortRateTreeNode[] nodes)
  29.     {
  30.         Func<int, double> next = k => values[values.Length / 2 + k];
  31.         return nodes
  32.             .Select(node => (node.PU * next(node.IU) + node.PM * next(node.IM) + node.PD * next(node.ID)) * node.DF)
  33.             .ToArray();
  34.     }
  35.  
  36.     static void Main()
  37.     {
  38.         var ITERATION = 10000;
  39.         Func<double, double[]> maturityValues = x => Enumerable.Repeat(x, 201).ToArray();
  40.         var reversedTree = Enumerable.Range(0, 100)
  41.             .Reverse()
  42.             .Select(i => Enumerable.Range(-i, i * 2 + 1)
  43.                 .Select(j => new ShortRateTreeNode(1.0, 1.0 / 6.0, 2.0 / 3.0, 1.0 / 6.0, j + 1, j, j - 1))
  44.                 .ToArray())
  45.             .ToArray();
  46.         var result = Enumerable.Range(0, ITERATION)
  47.             .Select(i => reversedTree.Aggregate(maturityValues(i), InduceForward)[0])
  48.             .Max();
  49.         Console.WriteLine(result);
  50.     }
  51. }
  52.  
Runtime error #stdin #stdout 15.99s 41360KB
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https://ideone.com/gERH7
language:
C# (gmcs 5.20.1)
created:
14 years ago
visibility:
public

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