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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 - Universit 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/mcpagodaengine.hpp>
namespace QuantLib {
PagodaMultiPathPricer::PagodaMultiPathPricer(Real roof, Real fraction,
DiscountFactor discount)
: discount_(discount), roof_(roof), fraction_(fraction) {}
Real PagodaMultiPathPricer::operator()(const MultiPath& multiPath) const {
Size numAssets = multiPath.assetNumber();
Size numSteps = multiPath.pathSize();
Real averagePerformance = 0.0;
for (Size i = 1; i < numSteps; i++) {
for (Size j = 0; j < numAssets; j++) {
averagePerformance +=
multiPath[j].front() *
(multiPath[j][i]/multiPath[j][i-1] - 1.0);
}
}
averagePerformance /= numAssets;
return discount_ * fraction_
* std::max<Real>(0.0, std::min(roof_, averagePerformance));
}
}
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