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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004 Neil Firth
Copyright (C) 2006 Klaus Spanderen
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/pricingengines/basket/mcamericanbasketengine.hpp>
#include <ql/math/functional.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <boost/bind.hpp>
using boost::bind;
namespace QuantLib {
AmericanBasketPathPricer::AmericanBasketPathPricer(
Size assetNumber,
const boost::shared_ptr<Payoff>& payoff,
Size polynomOrder,
LsmBasisSystem::PolynomType polynomType)
: assetNumber_ (assetNumber),
payoff_ (payoff),
scalingValue_(1.0),
v_ (LsmBasisSystem::multiPathBasisSystem(assetNumber_,
polynomOrder,
polynomType)) {
QL_REQUIRE( polynomType == LsmBasisSystem::Monomial
|| polynomType == LsmBasisSystem::Laguerre
|| polynomType == LsmBasisSystem::Hermite
|| polynomType == LsmBasisSystem::Hyperbolic
|| polynomType == LsmBasisSystem::Chebyshev2nd,
"insufficient polynom type");
const boost::shared_ptr<BasketPayoff> basketPayoff
= boost::dynamic_pointer_cast<BasketPayoff>(payoff_);
QL_REQUIRE(basketPayoff, "payoff not a basket payoff");
const boost::shared_ptr<StrikedTypePayoff> strikePayoff
= boost::dynamic_pointer_cast<StrikedTypePayoff>(basketPayoff->basePayoff());
if (strikePayoff) {
scalingValue_/=strikePayoff->strike();
}
v_.push_back(boost::bind(&AmericanBasketPathPricer::payoff,
this, _1));
}
Array AmericanBasketPathPricer::state(const MultiPath& path,
Size t) const {
QL_REQUIRE(path.assetNumber() == assetNumber_, "invalid multipath");
Array tmp(assetNumber_);
for (Size i=0; i<assetNumber_; ++i) {
tmp[i] = path[i][t]*scalingValue_;
}
return tmp;
}
Real AmericanBasketPathPricer::payoff(const Array& state) const {
const boost::shared_ptr<BasketPayoff> basketPayoff
= boost::dynamic_pointer_cast<BasketPayoff>(payoff_);
QL_REQUIRE(basketPayoff, "payoff not a basket payoff");
Real value = basketPayoff->accumulate(state);
return (*payoff_)(value/scalingValue_);
}
Real AmericanBasketPathPricer::operator()(const MultiPath& path,
Size t) const {
return this->payoff(this->state(path, t));
}
std::vector<boost::function1<Real, Array> >
AmericanBasketPathPricer::basisSystem() const {
return v_;
}
}
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