//Note: stopping time does not fine-tuned option-time-value pricing mode yet.
protected override double StoppingTime(IOption option, IMarketCondition[] markets)
{
var trade = (BarrierOption)option;
if (_useFourier)
{
var calculator = new BarrierOptionFourierPvPricer(trade, markets[0]);
return(calculator.StoppingTime());
}
else
{
var calculator = new BarrierOptionPvPricer(trade, markets[0]);
return(calculator.StoppingTime());
}
}
protected override double CalcPv(IOption option, IMarketCondition market, double timeIncrement = 0.0)
{
if (!(option is BarrierOption))
{
throw new PricingBaseException("");
}
var trade = (BarrierOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
double pv = double.NaN;
if (_useFourier)
{
var barrierCalculator = new BarrierOptionFourierPvPricer(trade, market, timeIncrement: timeIncrement);
pv = barrierCalculator.Pv();
}
else
{
var barrierCalculator = new BarrierOptionPvPricer(trade, market, timeIncrement: timeIncrement);
pv = barrierCalculator.Pv();
}
return(pv * trade.ParticipationRate * trade.Notional);
}