public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
DiscreteAveragingAsianOption.Arguments moreArgs = args as DiscreteAveragingAsianOption.Arguments;
Utils.QL_REQUIRE(moreArgs != null, () => "wrong argument type");
moreArgs.averageType = averageType_;
moreArgs.runningAccumulator = runningAccumulator_;
moreArgs.pastFixings = pastFixings_;
moreArgs.fixingDates = fixingDates_;
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
DiscreteAveragingAsianOption.Arguments moreArgs = args as DiscreteAveragingAsianOption.Arguments;
if (!(moreArgs != null))
{
throw new Exception("wrong argument type");
}
moreArgs.averageType = averageType_;
moreArgs.runningAccumulator = runningAccumulator_;
moreArgs.pastFixings = pastFixings_;
moreArgs.fixingDates = fixingDates_;
}
protected override double?controlVariateValue()
{
IPricingEngine controlPE = this.controlPricingEngine();
Utils.QL_REQUIRE(controlPE != null, () => "engine does not provide control variation pricing engine");
DiscreteAveragingAsianOption.Arguments controlArguments =
(DiscreteAveragingAsianOption.Arguments)controlPE.getArguments();
controlArguments = arguments_;
controlPE.calculate();
DiscreteAveragingAsianOption.Results controlResults =
(DiscreteAveragingAsianOption.Results)(controlPE.getResults());
return(controlResults.value);
}
protected override double controlVariateValue()
{
IPricingEngine controlPE = this.controlPricingEngine();
if (controlPE == null)
{
throw new ApplicationException("engine does not provide " +
"control variation pricing engine");
}
DiscreteAveragingAsianOption.Arguments controlArguments =
(DiscreteAveragingAsianOption.Arguments)controlPE.getArguments();
controlArguments = arguments_;
controlPE.calculate();
DiscreteAveragingAsianOption.Results controlResults =
(DiscreteAveragingAsianOption.Results)(controlPE.getResults());
return(controlResults.value.GetValueOrDefault());
}
