///Script ///
public override double ScriptDico(Dictionary <string, List <double> > timeDico,
Dictionary <string, List <double> > indexDico,
Handle <YieldTermStructure> discountTS,
MultiPath path)
{
double fixingValue = 0.0;
double payoff = 0.0;
double yield = 0.0;
bool iscalled = false;
double discount = 1.0;
int i = 0;
MultiPath _path = (MultiPath)path;
double strike = indexDico["strike"][0];
// Go through all dates //
for (int t = 0; t < path.length(); t++)
{
double k = _path[0].time(t);
if (_path[0].time(t) == timeDico["fixing"][i] && (iscalled == false))
{
fixingValue = _path[0].value(t);
yield = fixingValue / strike;
if (yield > 1.0)
{
iscalled = true;
discount = discountTS.link.discount(_path[0].time(i), true);
payoff = (1 + indexDico["coupons"][i]) * 100 * discount;
INSPOUT("ProbaCall " + i, 1.0);
return(payoff);
}
i++;
}
}
// if no previous payoff compute last redemption //
fixingValue = _path[0].value(path.length() - 1);
yield = fixingValue / strike;
discount = discountTS.link.discount(_path[0].time(path.length() - 1), true);
if ((iscalled == false) && (yield < indexDico["barrier"][0]))
{
payoff = yield * 100 * discount;
INSPOUT("ProbaDown", 1.0);
INSPOUT("AvgDown", yield);
}
else
{
payoff = 100.0 * discount;
INSPOUT("ProbaMid", 1.0);
}
// return payoff //
return(payoff);
}
