HestonEstimator.HestonCall.IntegrandFunc C# (CSharp) Method

        public double IntegrandFunc(double u)
        {
            Complex I = Complex.I;
            Complex Iu = Complex.I * u;
            Complex A = Complex.Exp(-Iu * Math.Log(this.K));
            Complex complexVal1 = A * Phi(u - I, this.kappa, this.theta, this.sigma, this.rho, this.s0, this.v0, this.rate - this.dividend, this.T) / Iu;
            Complex complexVal2 = A * Phi(u, this.kappa, this.theta, this.sigma, this.rho, this.s0, this.v0, this.rate - this.dividend, this.T) / Iu;
            return complexVal1.Re - this.K * complexVal2.Re;
        }

        public static void Main(string[] args)
        {
            int Caso = 1;

            if (Caso == 0)
            {
                InterestRateMarketData MData   = InterestRateMarketData.FromFile("../../../TestData/InterestRatesModels/05052009-EU.xml");
                CallPriceMarketData    test    = CallPriceMarketData.FromFile("../../../TestData/Heston/05052009-SX5E-HestonData.xml");
                EquityCalibrationData  CalData = new EquityCalibrationData(test, MData);

                Matrix CallMarketPrice = (Matrix)test.CallPrice;
                Vector Maturity        = (Vector)test.Maturity;
                Vector Strike          = (Vector)test.Strike;
                Vector DividendYield   = (Vector)test.DividendYield;
                Vector Drift           = CalData.Rate - CalData.DividendYield;
                Vector Rate            = CalData.Rate;

                double u, kappa, theta, sigma, rho, v0, s0, r, q, T, K, val;
                u     = 1.0;
                kappa = 19.4;
                theta = 0.235;
                sigma = 0.00500999;
                rho   = -0.96;
                v0    = 0.664;
                s0    = 3872.15;
                r     = -0.0867303549580581;
                q     = 0;
                T     = 0.50;
                K     = 6000;
                Vector MatBound    = new Vector(2);
                Vector StrikeBound = new Vector(2);
                MatBound[0]    = 0.0;
                MatBound[1]    = 2.0;
                StrikeBound[0] = 0.7;
                StrikeBound[1] = 1.3;
                Matrix Volatility = new Matrix(test.CallPrice.R, test.CallPrice.C);
                HestonCallOptimizationProblem HP = new HestonCallOptimizationProblem(CallMarketPrice, Maturity, Strike, Rate, DividendYield, test.S0, MatBound, StrikeBound, Volatility);
                Complex Cval, Cu;
                Cu = u - Complex.I;
                HestonCall hc = new HestonCall(HP);

                Cval = hc.phi(u, kappa, theta, sigma, rho, s0, v0, r, T);
                Console.WriteLine("phi1 = {0}", Cval);
                Cval = hc.phi(Cu, kappa, theta, sigma, rho, s0, v0, r, T);
                Console.WriteLine("phi2 = {0}", Cval);
                val = hc.IntegrandFunc(u, kappa, theta, sigma, rho, s0, v0, r, q, T, K);
                Console.WriteLine("IntFunc = {0}", val);

                Vector x = new Vector(5);
                x[0] = kappa;
                x[1] = theta;
                x[2] = sigma;
                x[3] = rho;
                x[4] = v0;

                DateTime T1, T2;
                TimeSpan ElapsedTime;
                double   Time, Time2, Time3;

                T1          = DateTime.Now;
                val         = hc.HestonCallPrice(x, s0, T, K, r, q);
                T2          = DateTime.Now;
                ElapsedTime = T2 - T1;
                Time        = (double)ElapsedTime.Milliseconds;
                Time2       = (double)ElapsedTime.Seconds;
                Console.WriteLine("Price = {0}", val);
                Console.WriteLine("Elapsed Time = {0}", Time2 + Time / 1000);

                int    NProve = 10;
                int    NPassi = 1000;
                double val2;
                Random CasNum = new Random();
                for (int i = 0; i < NProve; i++)
                {
                    for (int j = 0; j < 5; j++)
                    {
                        val2 = ((double)CasNum.Next(0, NPassi)) / ((double)NPassi);
                        x[j] = HP.Bounds.Lb[j] + (HP.Bounds.Ub[j] - HP.Bounds.Lb[j]) * val2;
                    }
                    Console.Write("Trial {0}  x = " + x.ToString(), i + 1);
                    T1          = DateTime.Now;
                    val         = HP.Obj(x);
                    T2          = DateTime.Now;
                    ElapsedTime = T2 - T1;
                    Time        = (double)ElapsedTime.Milliseconds;
                    Time2       = (double)ElapsedTime.Seconds;
                    Time3       = (double)ElapsedTime.Minutes;
                    Console.WriteLine("  Time = {0}' {1}'' Val = {2}", Time3, Time2 + Time / 1000, val);
                }
            }
            if (Caso == 1)
            {
                TestHestonCallEstimation NewTest = new TestHestonCallEstimation();
                bool Result = NewTest.Run();
            }
        }