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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/pricingengines/cliquet/mcperformanceengine.hpp>
namespace QuantLib {
PerformanceOptionPathPricer::PerformanceOptionPathPricer(
Option::Type type, Real strike,
const std::vector<DiscountFactor>& discounts)
: strike_(strike), type_(type), discounts_(discounts) {}
Real PerformanceOptionPathPricer::operator()(const Path& path) const {
Size n = path.length();
QL_REQUIRE(n==discounts_.size()+1, "discounts/options mismatch");
PlainVanillaPayoff payoff(type_,strike_);
Real sum = 0.0;
for (Size i = 2 ; i < n; i++) {
sum += discounts_[i-1] * payoff(path[i]/path[i-1]);
}
return sum;
}
}
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