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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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
<https://www.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/forward/mcforwardeuropeanbsengine.hpp>
namespace QuantLib {
ForwardEuropeanBSPathPricer::ForwardEuropeanBSPathPricer(
Option::Type type,
Real moneyness,
Size resetIndex,
DiscountFactor discount)
: type_(type), moneyness_(moneyness), resetIndex_(resetIndex),
discount_(discount)
{
QL_REQUIRE(moneyness>=0.0,
"moneyness less than zero not allowed");
}
Real ForwardEuropeanBSPathPricer::operator()(const Path& path) const {
Size n = path.length() - 1;
QL_REQUIRE(n>0, "the path cannot be empty");
const Real resetLevel = path[resetIndex_];
const Real strike = resetLevel * moneyness_;
const PlainVanillaPayoff payoff = PlainVanillaPayoff(type_, strike);
return payoff(path.back()) * discount_;
}
}
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