public AnalyticBinaryBarrierEngine_helper(
GeneralizedBlackScholesProcess process,
StrikedTypePayoff payoff,
AmericanExercise exercise,
BarrierOption.Arguments arguments)
{
process_ = process;
payoff_ = payoff;
exercise_ = exercise;
arguments_ = arguments;
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
BarrierOption.Arguments moreArgs = args as BarrierOption.Arguments;
if (!(moreArgs != null))
{
throw new ApplicationException("wrong argument type");
}
moreArgs.barrierType = barrierType_;
moreArgs.barrier = barrier_;
moreArgs.rebate = rebate_;
}
public DiscretizedBarrierOption(BarrierOption.Arguments args, StochasticProcess process, TimeGrid grid = null)
{
arguments_ = args;
vanilla_ = new DiscretizedVanillaOption(arguments_, process, grid);
Utils.QL_REQUIRE(args.exercise.dates().Count > 0, () => "specify at least one stopping date");
stoppingTimes_ = new InitializedList <double>(args.exercise.dates().Count);
for (int i = 0; i < stoppingTimes_.Count; ++i)
{
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (grid != null && !grid.empty())
{
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
public DiscretizedDermanKaniBarrierOption(BarrierOption.Arguments args,
StochasticProcess process, TimeGrid grid = null)
{
unenhanced_ = new DiscretizedBarrierOption(args, process, grid);
}
