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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andrea Odetti
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/mcbasket/mcpathbasketengine.hpp>
namespace QuantLib {
EuropeanPathMultiPathPricer::EuropeanPathMultiPathPricer(
boost::shared_ptr<PathPayoff> & payoff,
const std::vector<Size> & timePositions,
const std::vector<Handle<YieldTermStructure> > & forwardTermStructures,
const Array & discounts)
: payoff_(payoff), timePositions_(timePositions), forwardTermStructures_(forwardTermStructures), discounts_(discounts) {}
Real EuropeanPathMultiPathPricer::operator()(const MultiPath& multiPath)
const {
Size n = multiPath.pathSize();
QL_REQUIRE(n > 0, "the path cannot be empty");
Size numberOfAssets = multiPath.assetNumber();
QL_REQUIRE(numberOfAssets > 0, "there must be some paths");
const Size numberOfTimes = timePositions_.size();
Matrix path(numberOfAssets, numberOfTimes, Null<Real>());
for (Size i = 0; i < numberOfTimes; ++i) {
const Size pos = timePositions_[i];
for (Size j = 0; j < numberOfAssets; ++j)
path[j][i] = multiPath[j][pos];
}
Array values(numberOfTimes, 0.0);
// ignored
Array exercises;
std::vector<Array> states;
payoff_->value(path, forwardTermStructures_, values, exercises, states);
// in this engine we ignore early exercise
Real discountedPayoff = DotProduct(values, discounts_);
return discountedPayoff;
}
}
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