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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
<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/lookback/mclookbackengine.hpp>
#include <algorithm>
namespace QuantLib {
class LookbackFixedPathPricer : public PathPricer<Path> {
public:
LookbackFixedPathPricer(Option::Type type,
Real strike,
DiscountFactor discount);
Real operator()(const Path& path) const override;
private:
PlainVanillaPayoff payoff_;
DiscountFactor discount_;
};
class LookbackPartialFixedPathPricer : public PathPricer<Path> {
public:
LookbackPartialFixedPathPricer(Time lookbackStart,
Option::Type type,
Real strike,
DiscountFactor discount);
Real operator()(const Path& path) const override;
private:
Time lookbackStart_;
PlainVanillaPayoff payoff_;
DiscountFactor discount_;
};
class LookbackFloatingPathPricer : public PathPricer<Path> {
public:
LookbackFloatingPathPricer(Option::Type type,
DiscountFactor discount);
Real operator()(const Path& path) const override;
private:
FloatingTypePayoff payoff_;
DiscountFactor discount_;
};
class LookbackPartialFloatingPathPricer : public PathPricer<Path> {
public:
LookbackPartialFloatingPathPricer(Time lookbackEnd,
Option::Type type,
DiscountFactor discount);
Real operator()(const Path& path) const override;
private:
Time lookbackEnd_;
FloatingTypePayoff payoff_;
DiscountFactor discount_;
};
namespace detail {
ext::shared_ptr<PathPricer<Path> >
mc_lookback_path_pricer(
const ContinuousFixedLookbackOption::arguments& args,
const GeneralizedBlackScholesProcess& process,
DiscountFactor discount) {
ext::shared_ptr<PlainVanillaPayoff> payoff =
ext::dynamic_pointer_cast<PlainVanillaPayoff>(args.payoff);
QL_REQUIRE(payoff, "non-plain payoff given");
return ext::shared_ptr<PathPricer<Path> >(
new LookbackFixedPathPricer(payoff->optionType(),
payoff->strike(),
discount));
}
ext::shared_ptr<PathPricer<Path> >
mc_lookback_path_pricer(
const ContinuousPartialFixedLookbackOption::arguments& args,
const GeneralizedBlackScholesProcess& process,
DiscountFactor discount) {
ext::shared_ptr<PlainVanillaPayoff> payoff =
ext::dynamic_pointer_cast<PlainVanillaPayoff>(args.payoff);
QL_REQUIRE(payoff, "non-plain payoff given");
Time lookbackStart = process.time(args.lookbackPeriodStart);
return ext::shared_ptr<PathPricer<Path> >(
new LookbackPartialFixedPathPricer(lookbackStart,
payoff->optionType(),
payoff->strike(),
discount));
}
ext::shared_ptr<PathPricer<Path> >
mc_lookback_path_pricer(
const ContinuousFloatingLookbackOption::arguments& args,
const GeneralizedBlackScholesProcess& process,
DiscountFactor discount) {
ext::shared_ptr<FloatingTypePayoff> payoff =
ext::dynamic_pointer_cast<FloatingTypePayoff>(args.payoff);
QL_REQUIRE(payoff, "non-floating payoff given");
return ext::shared_ptr<PathPricer<Path> >(
new LookbackFloatingPathPricer(payoff->optionType(),
discount));
}
ext::shared_ptr<PathPricer<Path> >
mc_lookback_path_pricer(
const ContinuousPartialFloatingLookbackOption::arguments& args,
const GeneralizedBlackScholesProcess& process,
DiscountFactor discount) {
ext::shared_ptr<FloatingTypePayoff> payoff =
ext::dynamic_pointer_cast<FloatingTypePayoff>(args.payoff);
QL_REQUIRE(payoff, "non-floating payoff given");
Time lookbackEnd = process.time(args.lookbackPeriodEnd);
return ext::shared_ptr<PathPricer<Path> >(
new LookbackPartialFloatingPathPricer(lookbackEnd,
payoff->optionType(),
discount));
}
}
LookbackFixedPathPricer::LookbackFixedPathPricer(
Option::Type type,
Real strike,
DiscountFactor discount)
: payoff_(type, strike), discount_(discount) {
QL_REQUIRE(strike>=0.0,
"strike less than zero not allowed");
}
Real LookbackFixedPathPricer::operator()(const Path& path) const {
QL_REQUIRE(!path.empty(), "the path cannot be empty");
Real underlying;
switch (payoff_.optionType()) {
case Option::Put:
underlying = *std::min_element(path.begin()+1, path.end());
break;
case Option::Call:
underlying = *std::max_element(path.begin()+1, path.end());
break;
default:
QL_FAIL("unknown option type");
}
return payoff_(underlying) * discount_;
}
LookbackPartialFixedPathPricer::LookbackPartialFixedPathPricer(
Time lookbackStart,
Option::Type type,
Real strike,
const DiscountFactor discount)
: lookbackStart_(lookbackStart), payoff_(type, strike), discount_(discount) {
QL_REQUIRE(strike>=0.0,
"strike less than zero not allowed");
}
Real LookbackPartialFixedPathPricer::operator()(const Path& path) const {
QL_REQUIRE(!path.empty(), "the path cannot be empty");
const TimeGrid& timeGrid = path.timeGrid();
Size startIndex = timeGrid.closestIndex(lookbackStart_);
Real underlying;
switch (payoff_.optionType()) {
case Option::Put:
underlying = *std::min_element(path.begin()+startIndex+1, path.end());
break;
case Option::Call:
underlying = *std::max_element(path.begin()+startIndex+1, path.end());
break;
default:
QL_FAIL("unknown option type");
}
return payoff_(underlying) * discount_;
}
LookbackFloatingPathPricer::LookbackFloatingPathPricer(
Option::Type type,
const DiscountFactor discount)
: payoff_(type), discount_(discount) {}
Real LookbackFloatingPathPricer::operator()(const Path& path) const {
QL_REQUIRE(!path.empty(), "the path cannot be empty");
Real terminalPrice = path.back();
Real strike;
switch (payoff_.optionType()) {
case Option::Call:
strike = *std::min_element(path.begin()+1, path.end());
break;
case Option::Put:
strike = *std::max_element(path.begin()+1, path.end());
break;
default:
QL_FAIL("unknown option type");
}
return payoff_(terminalPrice, strike) * discount_;
}
LookbackPartialFloatingPathPricer::LookbackPartialFloatingPathPricer(
Time lookbackEnd,
Option::Type type,
DiscountFactor discount)
: lookbackEnd_(lookbackEnd), payoff_(type), discount_(discount) {}
Real LookbackPartialFloatingPathPricer::operator()(const Path& path) const {
QL_REQUIRE(!path.empty(), "the path cannot be empty");
const TimeGrid& timeGrid = path.timeGrid();
Size endIndex = timeGrid.closestIndex(lookbackEnd_);
Real terminalPrice = path.back();
Real strike;
switch (payoff_.optionType()) {
case Option::Call:
strike = *std::min_element(path.begin()+1, path.begin()+endIndex+1);
break;
case Option::Put:
strike = *std::max_element(path.begin()+1, path.begin()+endIndex+1);
break;
default:
QL_FAIL("unknown option type");
}
return payoff_(terminalPrice, strike) * discount_;
}
}
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