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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2003 Neil Firth
Copyright (C) 2003 Ferdinando Ametrano
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/mceuropeanbasketengine.hpp>
namespace QuantLib {
EuropeanMultiPathPricer::EuropeanMultiPathPricer(
const boost::shared_ptr<BasketPayoff>& payoff,
DiscountFactor discount)
: payoff_(payoff), discount_(discount) {}
Real EuropeanMultiPathPricer::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");
Size j;
// calculate the final price of each asset
Array finalPrice(numAssets, 0.0);
for (j = 0; j < numAssets; j++)
finalPrice[j] = multiPath[j].back();
return (*payoff_)(finalPrice) * discount_;
}
}
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