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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/mchimalayaengine.hpp>
#include <ql/payoff.hpp>
namespace QuantLib {
HimalayaMultiPathPricer::HimalayaMultiPathPricer(
const boost::shared_ptr<Payoff>& payoff,
DiscountFactor discount)
: payoff_(payoff), discount_(discount) {}
Real HimalayaMultiPathPricer::operator()(const MultiPath& multiPath)
const {
Size numAssets = multiPath.assetNumber();
Size numNodes = multiPath.pathSize();
QL_REQUIRE(numAssets > 0, "no asset given");
std::vector<bool> remainingAssets(numAssets, true);
Real averagePrice = 0.0;
Size fixings = numNodes-1;
for (Size i = 1; i < numNodes; i++) {
Real bestPrice = 0.0;
Real bestYield = QL_MIN_REAL;
// dummy assignement to avoid compiler warning
Size removeAsset = 0;
for (Size j = 0; j < numAssets; j++) {
if (remainingAssets[j]) {
Real price = multiPath[j][i];
Real yield = price/multiPath[j].front();
if (yield >= bestYield) {
bestPrice = price;
removeAsset = j;
}
}
}
remainingAssets[removeAsset] = false;
averagePrice += bestPrice;
}
averagePrice /= std::min(fixings, numAssets);
Real payoff = (*payoff_)(averagePrice);
return payoff * discount_;
}
}
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