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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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.
*/
#include <ql/experimental/exoticoptions/mceverestengine.hpp>
namespace QuantLib {
EverestMultiPathPricer::EverestMultiPathPricer(Real notional,
Real guarantee,
DiscountFactor discount)
: notional_(notional), guarantee_(guarantee), discount_(discount) {}
Real EverestMultiPathPricer::operator()(const MultiPath& multiPath) const {
Size n = multiPath.pathSize();
QL_REQUIRE(n>0, "the path cannot be empty");
Size numAssets = multiPath.assetNumber();
QL_REQUIRE(numAssets>0, "there must be some paths");
// We search the yield min
Real minYield = multiPath[0].back() / multiPath[0].front() - 1.0;
for (Size j=1; j<numAssets; ++j) {
Rate yield = multiPath[j].back() / multiPath[j].front() - 1.0;
minYield = std::min(minYield, yield);
}
return (1.0 + minYield + guarantee_) * notional_ * discount_;
}
}
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