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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file arithmeticasopathpricer.cpp
\brief arithmetic average strike option path pricer
\fullpath
ql/MonteCarlo/%arithmeticasopathpricer.cpp
*/
// $Id: arithmeticasopathpricer.cpp,v 1.5 2002/01/16 14:42:17 nando Exp $
#include <ql/MonteCarlo/arithmeticasopathpricer.hpp>
#include <ql/Pricers/singleassetoption.hpp>
using QuantLib::Pricers::ExercisePayoff;
namespace QuantLib {
namespace MonteCarlo {
ArithmeticASOPathPricer::ArithmeticASOPathPricer(
Option::Type type, double underlying,
DiscountFactor discount, bool useAntitheticVariance)
: PathPricer<Path>(discount, useAntitheticVariance), type_(type),
underlying_(underlying) {
QL_REQUIRE(underlying>0.0,
"ArithmeticASOPathPricer: "
"underlying less/equal zero not allowed");
}
double ArithmeticASOPathPricer::operator()(const Path& path) const {
Size n = path.size();
QL_REQUIRE(n>0,"ArithmeticASOPathPricer: the path cannot be empty");
double price1 = underlying_;
double averageStrike1 = 0.0;
Size i;
for (i=0; i<n; i++) {
price1 *= QL_EXP(path.drift()[i]+path.diffusion()[i]);
averageStrike1 += price1;
}
averageStrike1 = averageStrike1/n;
if (useAntitheticVariance_) {
double price2 = underlying_;
double averageStrike2 = 0.0;
for (i=0; i<n; i++) {
price2 *= QL_EXP(path.drift()[i]-path.diffusion()[i]);
averageStrike2 += price2;
}
averageStrike2 = averageStrike2/n;
return discount_/2.0*(ExercisePayoff(type_, price1, averageStrike1)
+ExercisePayoff(type_, price2, averageStrike2));
} else
return discount_*ExercisePayoff(type_, price1, averageStrike1);
}
}
}
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