public DiscretizedVanillaOption(VanillaOption.Arguments args, StochasticProcess process, TimeGrid grid) {
arguments_ = args;
stoppingTimes_ = new InitializedList<double>(args.exercise.dates().Count);
for (int i=0; i<stoppingTimes_.Count; ++i) {
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (!grid.empty()) {
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
public DiscretizedVanillaOption(VanillaOption.Arguments args, StochasticProcess process, TimeGrid grid)
{
arguments_ = args;
stoppingTimes_ = new InitializedList <double>(args.exercise.dates().Count);
for (int i = 0; i < stoppingTimes_.Count; ++i)
{
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (!grid.empty())
{
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
protected override double?controlVariateValue()
{
IPricingEngine controlPE = controlPricingEngine();
Utils.QL_REQUIRE(controlPE != null, () => "engine does not provide control variation pricing engine");
VanillaOption.Arguments controlArguments = controlPE.getArguments() as VanillaOption.Arguments;
controlArguments = arguments_;
controlArguments.exercise = new EuropeanExercise(arguments_.exercise.lastDate());
controlPE.calculate();
VanillaOption.Results controlResults = controlPE.getResults() as VanillaOption.Results;
return(controlResults.value);
}
protected override double controlVariateValue()
{
IPricingEngine controlPE = controlPricingEngine();
if (controlPE == null)
{
throw new Exception("engine does not provide control variation pricing engine");
}
VanillaOption.Arguments controlArguments = controlPE.getArguments() as VanillaOption.Arguments;
controlArguments = arguments_;
controlArguments.exercise = new EuropeanExercise(arguments_.exercise.lastDate());
controlPE.calculate();
VanillaOption.Results controlResults = controlPE.getResults() as VanillaOption.Results;
return(controlResults.value.GetValueOrDefault());
}
public Fj_Helper(VanillaOption.Arguments arguments,
HestonModel model,
AnalyticHestonEngine engine,
ComplexLogFormula cpxLog,
double term, double ratio, int j)
{
j_ = j; //arg_(arguments),
kappa_ = model.kappa();
theta_ = model.theta();
sigma_ = model.sigma();
v0_ = model.v0();
cpxLog_ = cpxLog;
term_ = term;
x_ = Math.Log(model.process().s0().link.value());
sx_ = Math.Log(((StrikedTypePayoff)(arguments.payoff)).strike());
dd_ = x_ - Math.Log(ratio);
sigma2_ = sigma_ * sigma_;
rsigma_ = model.rho() * sigma_;
t0_ = kappa_ - ((j_ == 1) ? model.rho() * sigma_ : 0);
b_ = 0;
g_km1_ = 0;
engine_ = engine;
}
public void setupArguments(VanillaOption.Arguments args)
{
this.arguments_ = args;
}
