protected override PathPricer <IPath> pathPricer()
{
AutocallPayoff payoff = arguments_.payoff as AutocallPayoff;
if (payoff == null)
{
throw new ApplicationException("non-plain payoff given");
}
AutocallExercise exercise = arguments_.exercise as AutocallExercise;
if (payoff == null)
{
throw new ApplicationException("non-plain payoff given");
}
GeneralizedBlackScholesProcess process = process_ as GeneralizedBlackScholesProcess;
if (process == null)
{
throw new ApplicationException("Black-Scholes process required");
}
// return new EuropeanAutocallPathPricer(payoff, exercise, process.riskFreeRate().link.discount(timeGrid().Last()));
return(new EuropeanAutocallPathPricer(payoff, exercise, process)); //, process.riskFreeRate().link.discount(timeGrid().Last()));
}
public EuropeanAutocallPathPricer(AutocallPayoff autocallPayoff, AutocallExercise autocallExercise, GeneralizedBlackScholesProcess process)
{
payoff_ = autocallPayoff;
exercise_ = autocallExercise;
//payoff_ = new AutocallPayoff(type, strike);
process_ = process;
//if (!(strike >= 0.0))
// throw new ApplicationException("strike less than zero not allowed");
}
public myAutocall(QLNet.Date valuationDate, AutocallExercise exercise, AutocallPayoff payoff) : base()
{
// Assign dates
base.valuationDate_ = valuationDate;
Settings.setEvaluationDate(valuationDate);
// Assign payoff and exercise
exercise_ = exercise;
payoff_ = payoff;
// @TODO : valuation date chould not be here, this is not part of the instrument itself. Belongs to valuation methods... @TODO
}
// ************************************************************
// METHODS - VALUATION
// ************************************************************
/*
* public double value(Path thisPath, AutocallExercise thisExercise, GeneralizedBlackScholesProcess process)
* {
*
* int cas = 3;
*
* switch (cas)
* {
* case 1:
* //Console.WriteLine("Pricing : Forward");
* return value_forward(thisPath, thisExercise, process);
*
* case 2:
* //Console.WriteLine("Pricing : PDI");
* return value_PDI(thisPath, thisExercise, process);
*
* case 3:
* //Console.WriteLine("Pricing : Autocall");
* return value_autocall(thisPath, thisExercise, process);
*
* }
*
* return this.value_autocall(thisPath, thisExercise, process);
* }
*
*/
/// <summary>
/// Performs valuations of the autocall payoff for a given Monte Carlo trajectory.
/// </summary>
public double value(Path thisPath, AutocallExercise thisExercise, GeneralizedBlackScholesProcess process)
{
int nbSteps = thisExercise.dates().Count();
double pmt = 0.0;
double yield = 0.0;
for (int i = 0; i < nbSteps; i++)
{
Date d = Settings.evaluationDate();
double t_k = dayCount_.yearFraction(d, thisExercise.dates()[i]);
// Check for coupons payments and autocall events
if (t_k >= 0.0)
{
int k = thisPath.timeGrid().closestIndex(t_k);
yield = thisPath.value(k) / spotAtStrikeDate_;
if (yield >= recallMoneyness_)
{
double df = process.riskFreeRate().link.discount(t_k);
pmt += df * nominal_ * (1 + (1 + i) * CouponRate_);
return(pmt);
}
}
}
// Product maturity reached without autocall event, checking only PDI
double final_DF = process.riskFreeRate().link.discount(thisPath.timeGrid().Last());
yield = thisPath.back() / spotAtStrikeDate_;
// Case 1 : Above (or equal to) PDI barrier
if (yield >= finalBarrierMoneyness_)
{
pmt += 1.0;
}
// Case 2 : Below PDI barrier
else
{
pmt += yield;
}
return(nominal_ * final_DF * pmt);
}
