/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="pricePath">价格路径</param>
/// <returns>行权收益</returns>
public override Cashflow[] GetPayoff(Dictionary <Date, double> pricePath)
{
var prices = new SortedDictionary <Date, double>(pricePath);
//merges fixings and monte carlo path
foreach (var key in Fixings.Keys)
{
prices[key] = Fixings[key];
}
var simulatedValuesToCheck = ObservationDates.Select(x => prices[x]).ToArray();
var actualPaymentDate = SettlmentGap.Get(Calendar, UnderlyingMaturityDate);
var voidCf = new[]
{
new Cashflow(StartDate, UnderlyingMaturityDate, actualPaymentDate, Rebate * Notional, PayoffCcy, CashflowType.Net, false, double.NaN, null),
new Cashflow(StartDate, UnderlyingMaturityDate, OptionPremiumPaymentDate ?? actualPaymentDate, OptionPremium, PayoffCcy, CashflowType.Net, true, double.NaN, null)
};
switch (BarrierType)
{
case BarrierType.UpAndOut:
return(simulatedValuesToCheck.Any(val => val > Barrier)
? voidCf
: GetPayoff(new[] { prices.Last().Value }));
case BarrierType.UpAndIn:
return(simulatedValuesToCheck.Any(val => val > Barrier)
? GetPayoff(new[] { prices.Last().Value })
: voidCf);
case BarrierType.DownAndOut:
return(simulatedValuesToCheck.Any(val => val < Barrier)
? voidCf
: GetPayoff(new[] { prices.Last().Value }));
case BarrierType.DownAndIn:
return(simulatedValuesToCheck.Any(val => val < Barrier)
? GetPayoff(new[] { prices.Last().Value })
: voidCf);
case BarrierType.DoubleTouchOut:
return(simulatedValuesToCheck.Any(val => (val > UpperBarrier || val < Barrier))
? voidCf
: GetPayoff(new[] { prices.Last().Value }));
case BarrierType.DoubleTouchIn:
return(simulatedValuesToCheck.Any(val => (val > UpperBarrier || val < Barrier))
? GetPayoff(new[] { prices.Last().Value })
: voidCf);
default:
return(voidCf);
}
}
/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="pricePath">价格路径</param>
/// <returns>行权收益</returns>
public override Cashflow[] GetPayoff(Dictionary <Date, double> pricePath)
{
var prices = new Dictionary <Date, double>(pricePath);
//merges fixings and monte carlo path
foreach (var key in Fixings.Keys)
{
prices[key] = Fixings[key];
}
var avgPrice = ObservationDates.Average(x => prices[x]);
return(GetPayoff(new[] { avgPrice, pricePath[ExerciseDates[0]] }));
}
