public override void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var nTotalVec = new Vector <double>(_nTotal);
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
Span <Vector <double> > stepsFx = null;
if (_fxName != null)
{
stepsFx = block.GetStepsForFactor(path, _fxIndex);
}
var pastSum = new Vector <double>(0.0);
for (var p = 0; p < _dateIndexesPast.Length; p++)
{
pastSum += steps[_dateIndexesPast[p]] * (_fxName != null ? stepsFx[_dateIndexesPast[p]] : _one);
}
var spotAtExpiry = steps[_decisionDateIx] * (_fxName != null ? stepsFx[_decisionDateIx] : _one);
if (VanillaModel != null && AverageRegressor == null)
{
var setReg = new double[Vector <double> .Count];
for (var i = 0; i < Vector <double> .Count; i++)
{
setReg[i] = spotAtExpiry[i] + _expiryToSettleCarry;
}
var avgVec = pastSum / nTotalVec;
var setVec = new Vector <double>(setReg);
var payoff = (_callPut == OptionType.C) ?
Vector.Max(new Vector <double>(0), setVec - avgVec) :
Vector.Max(new Vector <double>(0), avgVec - setVec);
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff * _notional;
}
else
{
var futSum = new double[Vector <double> .Count];
var setReg = new double[Vector <double> .Count];
for (var i = 0; i < Vector <double> .Count; i++)
{
futSum[i] = AverageRegressor == null ? 0.0 : AverageRegressor.Predict(spotAtExpiry[i]) * _nFuture;
setReg[i] = SettlementRegressor.Predict(spotAtExpiry[i]);
}
var futVec = new Vector <double>(futSum);
var avgVec = (futVec + pastSum) / nTotalVec;
var setVec = new Vector <double>(setReg);
var payoff = (_callPut == OptionType.C) ?
Vector.Max(new Vector <double>(0), setVec - avgVec) :
Vector.Max(new Vector <double>(0), avgVec - setVec);
ConvertToSimCcyIfNeeded(block, path, payoff, _dateIndexes.Last());
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff * _notional;
}
}
}
public void Process(IPathBlock block)
{
var blockBaseIx = block.GlobalPathIndex;
var nTotalVec = new Vector <double> [_nTotal.Length];
for (var i = 0; i < nTotalVec.Length; i++)
{
nTotalVec[i] = new Vector <double>(_nTotal[i]);
}
for (var path = 0; path < block.NumberOfPaths; path += Vector <double> .Count)
{
var steps = block.GetStepsForFactor(path, _assetIndex);
Span <Vector <double> > stepsFx = null;
if (_fxName != null)
{
stepsFx = block.GetStepsForFactor(path, _fxIndex);
}
var avgs = new Vector <double> [_dateIndexes.Count];
var avgVec = new Vector <double>((_callPut == OptionType.C) ? double.MaxValue : double.MinValue);
var setReg = new double[Vector <double> .Count];
for (var a = 0; a < _dateIndexes.Count; a++)
{
var pastSum = new Vector <double>(0.0);
for (var p = 0; p < _dateIndexesPast[a].Length; p++)
{
pastSum += steps[_dateIndexesPast[a][p]] * (_fxName != null ? stepsFx[_dateIndexesPast[a][p]] : _one);
}
var spotAtExpiry = steps[_decisionDateIx] * (_fxName != null ? stepsFx[_decisionDateIx] : _one);
if (VanillaModel != null && AverageRegressors[a] == null)
{
avgs[a] = pastSum / nTotalVec[a];
for (var i = 0; i < Vector <double> .Count; i++)
{
setReg[i] = spotAtExpiry[i] * _expiryToSettleCarry;
}
}
else
{
var futSum = new double[Vector <double> .Count];
for (var i = 0; i < Vector <double> .Count; i++)
{
futSum[i] = AverageRegressors[a] == null ? 0.0 : AverageRegressors[a].Predict(spotAtExpiry[i]) * _nFuture[a];
setReg[i] = SettlementRegressor.Predict(spotAtExpiry[i]);
}
var futVec = new Vector <double>(futSum);
avgs[a] = (futVec + pastSum) / nTotalVec[a];
}
avgVec = (_callPut == OptionType.C) ?
Vector.Min(avgs[a], avgVec) :
Vector.Max(avgs[a], avgVec);
}
var setVec = new Vector <double>(setReg);
var payoff = (_callPut == OptionType.C) ?
Vector.Max(new Vector <double>(0), setVec - avgVec) :
Vector.Max(new Vector <double>(0), avgVec - setVec);
var resultIx = (blockBaseIx + path) / Vector <double> .Count;
_results[resultIx] = payoff * _notional;
}
}
