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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 maxbasketpathpricer.cpp
\brief multipath pricer for max basket option
\fullpath
MonteCarlo/%basketpathpricer.cpp
*/
// $Id$
#include <ql/MonteCarlo/maxbasketpathpricer.hpp>
#include <ql/dataformatters.hpp>
namespace QuantLib {
namespace MonteCarlo {
MaxBasketPathPricer::MaxBasketPathPricer(const Array& underlying,
DiscountFactor discount, bool useAntitheticVariance)
: PathPricer<MultiPath>(discount, useAntitheticVariance),
underlying_(underlying) {
for (Size i=0; i<underlying_.size(); i++) {
QL_REQUIRE(underlying_[i]>0.0,
"MaxBasketPathPricer: "
"underlying less/equal zero not allowed");
}
}
double MaxBasketPathPricer::operator()(const MultiPath& multiPath)
const {
Size numAssets = multiPath.assetNumber();
Size numSteps = multiPath.pathSize();
QL_REQUIRE(underlying_.size() == numAssets,
"MaxBasketPathPricer: the multi-path must contain "
+ IntegerFormatter::toString(underlying_.size()) +" assets");
double log_drift, log_diffusion;
Size i,j;
if (useAntitheticVariance_) {
double maxPrice = -QL_MAX_DOUBLE, maxPrice2 = -QL_MAX_DOUBLE;
for(j = 0; j < numAssets; j++) {
log_drift = log_diffusion = 0.0;
for(i = 0; i < numSteps; i++) {
log_drift += multiPath[j].drift()[i];
log_diffusion += multiPath[j].diffusion()[i];
}
maxPrice = QL_MAX(maxPrice,
underlying_[j]*QL_EXP(log_drift+log_diffusion));
maxPrice2 = QL_MAX(maxPrice2,
underlying_[j]*QL_EXP(log_drift-log_diffusion));
}
return discount_*0.5*(maxPrice+maxPrice2);
} else {
double maxPrice = -QL_MAX_DOUBLE;
for(j = 0; j < numAssets; j++) {
log_drift = log_diffusion = 0.0;
for(i = 0; i < numSteps; i++) {
log_drift += multiPath[j].drift()[i];
log_diffusion += multiPath[j].diffusion()[i];
}
maxPrice = QL_MAX(maxPrice,
underlying_[j]*QL_EXP(log_drift+log_diffusion));
}
return discount_*maxPrice;
}
}
}
}
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