1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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/asian/mc_discr_arith_av_strike.hpp>
namespace QuantLib {
ArithmeticASOPathPricer::ArithmeticASOPathPricer(Option::Type type,
DiscountFactor discount,
Real runningSum,
Size pastFixings)
: type_(type), discount_(discount),
runningSum_(runningSum), pastFixings_(pastFixings) {}
Real ArithmeticASOPathPricer::operator()(const Path& path) const {
Size n = path.length();
QL_REQUIRE(n > 1, "the path cannot be empty");
Real averageStrike;
if (path.timeGrid().mandatoryTimes()[0]==0.0) {
// include initial fixing
averageStrike =
std::accumulate(path.begin(),path.end(),runningSum_) /
(pastFixings_ + n);
} else {
averageStrike =
std::accumulate(path.begin()+1,path.end(),runningSum_) /
(pastFixings_ + n - 1);
}
return discount_
* PlainVanillaPayoff(type_, averageStrike)(path.back());
}
}
|
