public Integrand(Payoff payoff, double s0, double drift, double variance)
{
payoff_ = payoff;
s0_ = s0;
drift_ = drift;
variance_ = variance;
}
public Integrand(Payoff payoff, double s0, double drift, double variance)
{
payoff_ = payoff;
s0_ = s0;
drift_ = drift;
variance_ = variance;
}
public AmericanPathPricer(Payoff payoff, int polynomOrder, LsmBasisSystem.PolynomType polynomType)
{
scalingValue_ = 1;
payoff_ = payoff;
v_ = LsmBasisSystem.pathBasisSystem(polynomOrder, polynomType);
if (!(polynomType == LsmBasisSystem.PolynomType.Monomial ||
polynomType == LsmBasisSystem.PolynomType.Laguerre ||
polynomType == LsmBasisSystem.PolynomType.Hermite ||
polynomType == LsmBasisSystem.PolynomType.Hyperbolic ||
polynomType == LsmBasisSystem.PolynomType.Chebyshev2th))
{
throw new ApplicationException("insufficient polynom type");
}
// the payoff gives an additional value
v_.Add(this.payoff);
StrikedTypePayoff strikePayoff = payoff_ as StrikedTypePayoff;
if (strikePayoff != null)
{
scalingValue_ /= strikePayoff.strike();
}
}
public virtual void setupArguments(IPricingEngineArguments a)
{
OneAssetOption.Arguments args = a as OneAssetOption.Arguments;
Utils.QL_REQUIRE(args != null, () => "incorrect argument type");
exerciseDate_ = args.exercise.lastDate();
payoff_ = args.payoff;
}
public FdmLogInnerValue(Payoff payoff,
FdmMesher mesher,
int direction)
{
payoff_ = payoff;
mesher_ = mesher;
direction_ = direction;
avgInnerValues_ = new List <double>();
}
public virtual void setupArguments(IPricingEngineArguments a)
{
OneAssetOption.Arguments args = a as OneAssetOption.Arguments;
if (args == null)
{
throw new ApplicationException("incorrect argument type");
}
exerciseDate_ = args.exercise.lastDate();
payoff_ = args.payoff;
}
public virtual void setupArguments(IPricingEngineArguments a)
{
OneAssetOption.Arguments args = a as OneAssetOption.Arguments;
if (args == null)
{
throw new ApplicationException("incorrect argument type");
}
exerciseDate_ = args.exercise.lastDate();
payoff_ = args.payoff;
requiredGridValue_ = ((StrikedTypePayoff)payoff_).strike();
}
//protected Forward(DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
// int settlementDays, Payoff payoff, Date valueDate, Date maturityDate,
// Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>()) {
protected Forward(DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
int settlementDays, Payoff payoff, Date valueDate, Date maturityDate,
Handle<YieldTermStructure> discountCurve) {
dayCounter_ = dayCounter;
calendar_ = calendar;
businessDayConvention_ = businessDayConvention;
settlementDays_ = settlementDays;
payoff_ = payoff;
valueDate_ = valueDate;
maturityDate_ = maturityDate;
discountCurve_ = discountCurve;
maturityDate_ = calendar_.adjust(maturityDate_, businessDayConvention_);
Settings.registerWith(update);
discountCurve_.registerWith(update);
}
//protected Forward(DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
// int settlementDays, Payoff payoff, Date valueDate, Date maturityDate,
// Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>()) {
protected Forward(DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
int settlementDays, Payoff payoff, Date valueDate, Date maturityDate,
Handle <YieldTermStructure> discountCurve)
{
dayCounter_ = dayCounter;
calendar_ = calendar;
businessDayConvention_ = businessDayConvention;
settlementDays_ = settlementDays;
payoff_ = payoff;
valueDate_ = valueDate;
maturityDate_ = maturityDate;
discountCurve_ = discountCurve;
maturityDate_ = calendar_.adjust(maturityDate_, businessDayConvention_);
Settings.registerWith(update);
discountCurve_.registerWith(update);
}
public void visit(Payoff p) {
throw new NotSupportedException("unsupported payoff type: " + p.name());
}
public Option(Payoff payoff, Exercise exercise)
{
payoff_ = payoff;
exercise_ = exercise;
}
public PayoffWrapper(Option.Type type, double strike)
{
payoff_ = new PlainVanillaPayoff(type, strike);
}
public void visit(Payoff p)
{
Utils.QL_FAIL("unsupported payoff type: " + p.name());
}
public void visit(Payoff p)
{
throw new NotSupportedException("unsupported payoff type: " + p.name());
}
public AverageBasketPayoff(Payoff p, Vector a) : base(p)
{
weights_ = a;
}
public MinBasketPayoff(Payoff p) : base(p)
{
}
public SpreadBasketPayoff(Payoff p)
: base(p)
{
}
public StrikedTypePayoff(Payoff p)
: base((p as StrikedTypePayoff).type_)
{
strike_ = (p as StrikedTypePayoff).strike_;
}
public HestonHullWhitePathPricer(double exerciseTime, Payoff payoff, HybridHestonHullWhiteProcess process)
{
exerciseTime_ = exerciseTime;
payoff_ = payoff;
process_ = process;
}
protected BasketPayoff(Payoff p)
{
basePayoff_ = p;
}
public BasketPayoff(Payoff p)
{
basePayoff_ = p;
}
public MaxBasketPayoff(Payoff p) : base(p)
{
}
public Option(Payoff payoff, Exercise exercise)
{
payoff_ = payoff;
exercise_ = exercise;
}
public AverageBasketPayoff(Payoff p, int n) : base(p)
{
weights_ = new Vector(n, 1.0 / n);
}
protected CurveDependentStepCondition(Payoff p)
{
curveItem_ = new PayoffWrapper(p);
}
public MultiAssetOption(Payoff payoff, Exercise exercise) : base(payoff, exercise)
{
}
public PayoffWrapper(Payoff p)
{
payoff_ = p;
}
