public double value(Path path)
{
int n = path.length();
if (!(n > 1))
{
throw new Exception("the path cannot be empty");
}
double sum = runningSum_;
int fixings;
if (path.timeGrid().mandatoryTimes()[0] == 0.0)
{
// include initial fixing
//sum = std::accumulate(path.begin(),path.end(),runningSum_);
for (int i = 0; i < path.length(); i++)
{
sum += path[i];
}
fixings = pastFixings_ + n;
}
else
{
//sum = std::accumulate(path.begin()+1,path.end(),runningSum_);
for (int i = 1; i < path.length(); i++)
{
sum += path[i];
}
fixings = pastFixings_ + n - 1;
}
double averagePrice = sum / fixings;
return(discount_ * payoff_.value(averagePrice));
}
public double value(Path path)
{
int n = path.length() - 1;
Utils.QL_REQUIRE(n > 0, () => "the path cannot be empty");
double averagePrice;
double product = runningProduct_;
int fixings = n + pastFixings_;
if (path.timeGrid().mandatoryTimes()[0].IsEqual(0.0))
{
fixings += 1;
product *= path.front();
}
// care must be taken not to overflow product
double maxValue = double.MaxValue;
averagePrice = 1.0;
for (int i = 1; i < n + 1; i++)
{
double price = path[i];
if (product < maxValue / price)
{
product *= price;
}
else
{
averagePrice *= Math.Pow(product, 1.0 / (double)fixings);
product = price;
}
}
averagePrice *= Math.Pow(product, 1.0 / fixings);
return(discount_ * payoff_.value(averagePrice));
}
public double value(IPath path)
{
if (!(path.length() > 0))
{
throw new ApplicationException("the path cannot be empty");
}
return(payoff_.value((path as Path).back()) * discount_);
}
public double value(Path path)
{
int n = path.length() - 1;
if (!(n > 0))
{
throw new ApplicationException("the path cannot be empty");
}
double averagePrice;
double product = runningProduct_;
int fixings = n + pastFixings_;
if (path.timeGrid().mandatoryTimes()[0] == 0.0)
{
fixings += 1;
product *= path.front();
}
// care must be taken not to overflow product
double maxValue = double.MaxValue; //QL_MAX_REAL;
averagePrice = 1.0;
for (int i = 1; i < n + 1; i++)
{
double price = path[i];
if (product < maxValue / price)
{
product *= price;
}
else
{
averagePrice *= Math.Pow(product, 1.0 / (double)fixings);
product = price;
}
}
averagePrice *= Math.Pow(product, 1.0 / fixings);
return(discount_ * payoff_.value(averagePrice));
}
