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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 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
<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.
*/
/*! \file mcamericanengine.cpp
\brief Monte Carlo engine for vanilla american options
*/
#include <ql/errors.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
#include <utility>
namespace QuantLib {
AmericanPathPricer::AmericanPathPricer(ext::shared_ptr<Payoff> payoff,
Size polynomialOrder,
LsmBasisSystem::PolynomialType polynomialType)
: payoff_(std::move(payoff)),
v_(LsmBasisSystem::pathBasisSystem(polynomialOrder, polynomialType)) {
QL_REQUIRE( polynomialType == LsmBasisSystem::Monomial
|| polynomialType == LsmBasisSystem::Laguerre
|| polynomialType == LsmBasisSystem::Hermite
|| polynomialType == LsmBasisSystem::Hyperbolic
|| polynomialType == LsmBasisSystem::Chebyshev2nd,
"insufficient polynomial type");
// the payoff gives an additional value
v_.emplace_back([&](Real state){ return this->payoff(state); });
const ext::shared_ptr<StrikedTypePayoff> strikePayoff
= ext::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
if (strikePayoff != nullptr) {
scalingValue_/=strikePayoff->strike();
}
}
Real AmericanPathPricer::payoff(Real state) const {
return (*payoff_)(state/scalingValue_);
}
Real AmericanPathPricer::operator()(const Path& path, Size t) const {
return payoff(state(path, t));
}
Real AmericanPathPricer::state(const Path& path, Size t) const {
// scale values of the underlying
// to increase numerical stability
return path[t]*scalingValue_;
}
std::vector<std::function<Real(Real)> >
AmericanPathPricer::basisSystem() const {
return v_;
}
}
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