/// <summary>
/// Given one or more paths, the value of an option is returned.
/// </summary>
/// <param name="paths"></param>
/// <returns></returns>
public override double Value(Path[] paths)
{
// would throw anyways: QL_RequireArgNotNull(paths, "paths", null);
if (paths.Length != _underlying.Length)
{
throw new ArgumentException("TODO: Not enough paths.");
}
if (paths[0].Count == 0)
{
throw new ArgumentException("TODO: the path cannot be empty.");
}
int numAssets = paths.Length;
var logDrift = new SparseVector(numAssets);
var logDiffusion = new SparseVector(numAssets);
for (int j = 0; j < numAssets; j++)
{
logDrift.Data[j] = paths[j].Drift.Sum();
logDiffusion.Data[j] = paths[j].Diffusion.Sum();
}
double basketPrice1 = SparseVector.DotProduct(_underlying, SparseVector.Exp(logDrift + logDiffusion));
if (UseAntitheticVariance)
{
double basketPrice2 = SparseVector.DotProduct(_underlying, SparseVector.Exp(logDrift - logDiffusion));
return(Discount * (
Option.ExercisePayoff(_optionType, basketPrice1, _strike) +
Option.ExercisePayoff(_optionType, basketPrice2, _strike)
) / 2.0);
}
return(Discount * Option.ExercisePayoff(
_optionType, basketPrice1, _strike));
}
/// <summary>
/// Given one or more paths, the value of an option is returned.
/// </summary>
/// <param name="paths"></param>
/// <returns></returns>
public override double Value(Path[] paths)
{
if (paths.Length != _underlying.Length)
{
throw new ArgumentException(nameof(paths));
}
if (paths[0].Count == 0)
{
throw new ArgumentException(nameof(paths));
}
int numAssets = paths.Length;
var logDrift = new SparseVector(numAssets);
var logDiffusion = new SparseVector(numAssets);
for (int j = 0; j < numAssets; j++)
{
logDrift.Data[j] = paths[j].Drift.Sum();
logDiffusion.Data[j] = paths[j].Diffusion.Sum();
}
double maxPrice1 = (_underlying * SparseVector.Exp(
logDrift + logDiffusion)).Max();
if (UseAntitheticVariance)
{
double maxPrice2 = (_underlying * SparseVector.Exp(
logDrift - logDiffusion)).Max();
return(Discount * (maxPrice1 + maxPrice2) / 2.0);
}
return(Discount * maxPrice1);
}
