//Payoff condition
private void TerminalCondition()
{
for (int idx = 0; idx < Steps; idx++)
{
switch (SPay.ToUpper())
{
case "C":
_v.Add(Math.Max(Math.Exp(_x[idx]) - Strike, 0.0));
break;
case "P":
_v.Add(Math.Max(Strike - Math.Exp(_x[idx]), 0.0));
break;
case "A":
_v.Add(((Math.Exp(_x[idx]) > Strike) ? 1.0 : 0.0));
break;
case "B":
_v.Add(((Math.Exp(_x[idx]) > Strike) ? 0.0 : 1.0));
break;
case "T":
_v.Add(1.0);
break;
}
}
}
private double MakeUpperBC(double tau, double S, double domRbc, double DiscDiv)
{
double temp = 0.0;
if (UbFlag) return 0.0;
switch (SPay.ToUpper())
{
case "C":
temp = (S - DiscDiv - Math.Exp(-domRbc * tau) * Strike);
temp = (SStyle.ToUpper().Equals("A")) ? Math.Max(temp, S - Strike) : temp;
break;
case "P":
break;
case "A":
temp = Math.Exp(-domRbc * tau);
break;
case "B":
break;
case "T":
break;
default:
break;
}
return temp;
}
//apply the BC
private double MakeLowerBC(double tau, double S, double domRbc, double discDiv)
{
double temp = 0.0;
if (LbFlag)
{
return(0.0);
}
switch (SPay.ToUpper())
{
case "C":
break;
case "P":
temp = (SStyle.ToUpper().Equals("E")) ? Math.Exp(-domRbc * tau) * Strike - Math.Max(S - discDiv, 0.0) :
Strike - S;
break;
case "A":
break;
case "B":
temp = Math.Exp(-domRbc * tau);
break;
case "T":
break;
}
return(temp);
}
private double AmPay(int idx)
{
return (SPay.ToUpper().Equals("C")) ? Math.Exp(_x[idx]) - Strike : Strike - Math.Exp(_x[idx]);
}
