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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2020 Lew Wei Hao
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/barrieroption/mcdoublebarrierengine.hpp>
namespace QuantLib {
DoubleBarrierPathPricer::DoubleBarrierPathPricer(
DoubleBarrier::Type barrierType,
Real barrierLow,
Real barrierHigh,
Real rebate,
Option::Type type,
Real strike,
const std::vector<DiscountFactor>& discounts)
: barrierType_(barrierType), barrierLow_(barrierLow), barrierHigh_(barrierHigh),
rebate_(rebate), payoff_(type, strike), discounts_(discounts) {
QL_REQUIRE(strike>=0.0,
"strike less than zero not allowed");
QL_REQUIRE(barrierLow>0.0,
"low barrier less/equal zero not allowed");
QL_REQUIRE(barrierHigh>0.0,
"high barrier less/equal zero not allowed");
}
Real DoubleBarrierPathPricer::operator()(const Path& path) const {
static Size null = Null<Size>();
Size n = path.length();
QL_REQUIRE(n>1, "the path cannot be empty");
bool isOptionActive = false;
Size knockNode = null;
Real terminal_price = path.back();
Real new_asset_price;
Size i;
switch (barrierType_) {
case DoubleBarrier::KnockOut:
isOptionActive = true;
for (i = 0; i < n-1; i++) {
new_asset_price = path[i + 1];
if (new_asset_price >= barrierHigh_ || new_asset_price <= barrierLow_){
isOptionActive = false;
if (knockNode == null)
knockNode = i+1;
break;
}
}
break;
case DoubleBarrier::KnockIn:
isOptionActive = false;
for (i = 0; i < n-1; i++) {
new_asset_price = path[i + 1];
if (new_asset_price >= barrierHigh_ || new_asset_price <= barrierLow_){
isOptionActive = true;
if (knockNode == null)
knockNode = i+1;
break;
}
}
break;
default:
QL_FAIL("unknown barrier type");
}
if (isOptionActive) {
return payoff_(terminal_price) * discounts_.back();
} else {
switch (barrierType_) {
case DoubleBarrier::KnockOut:
return rebate_*discounts_[knockNode];
case DoubleBarrier::KnockIn:
return rebate_*discounts_.back();
default:
QL_FAIL("unknown barrier type");
}
}
}
}
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