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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 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.
*/
/*! \file mchestonhullwhiteengine.hpp
\brief Monte Carlo vanilla option engine for stochastic interest rates
*/
#include <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>
namespace QuantLib {
HestonHullWhitePathPricer::HestonHullWhitePathPricer(
Time exerciseTime,
const boost::shared_ptr<Payoff> & payoff,
const boost::shared_ptr<HybridHestonHullWhiteProcess> & process)
: exerciseTime_(exerciseTime),
payoff_(payoff),
process_(process) {
}
Real HestonHullWhitePathPricer::operator()(const MultiPath& path) const {
QL_REQUIRE(path.pathSize() > 0, "the path cannot be empty");
Array states(path.assetNumber());
for (Size j=0; j < states.size(); ++j) {
states[j] = path[j][path.pathSize()-1];
}
const DiscountFactor df(
1.0/process_->numeraire(exerciseTime_, states));
return (*payoff_)(states[0])*df;
}
}
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