// ICloneable interface
public object Clone()
{
MultiPath temp = (MultiPath)this.MemberwiseClone();
temp.multiPath_ = new List <Path>(this.multiPath_);
return(temp);
}
override public double value(MultiPath path)
{
double val = 0.0;
//int assetNum = path.assetNumber();
//for (int i = 0; i < payoffNum_; i++)
//{
// int position = cashFlowPosition_[i];
// for (int j = 0; i < assetNum; j++)
// {
// pathValue_[j] = path[j][i];
// }
// if( domains_[i].eventOcc(pathValue_) )
// {
// val = val + payoffs_[i].value(path) * discountFactor_[i];
// }
//}
return val;
}
///Script ///
public override double ScriptDico(Dictionary <string, List <double> > timeDico,
Dictionary <string, List <double> > indexDico,
Handle <YieldTermStructure> discountTS,
MultiPath path)
{
double fixingValue = 0.0;
double payoff = 0.0;
double yield = 0.0;
bool iscalled = false;
double discount = 1.0;
int i = 0;
MultiPath _path = (MultiPath)path;
double strike = indexDico["strike"][0];
// Go through all dates //
for (int t = 0; t < path.length(); t++)
{
double k = _path[0].time(t);
if (_path[0].time(t) == timeDico["fixing"][i] && (iscalled == false))
{
fixingValue = _path[0].value(t);
yield = fixingValue / strike;
if (yield > 1.0)
{
iscalled = true;
discount = discountTS.link.discount(_path[0].time(i), true);
payoff = (1 + indexDico["coupons"][i]) * 100 * discount;
INSPOUT("ProbaCall " + i, 1.0);
return(payoff);
}
i++;
}
}
// if no previous payoff compute last redemption //
fixingValue = _path[0].value(path.length() - 1);
yield = fixingValue / strike;
discount = discountTS.link.discount(_path[0].time(path.length() - 1), true);
if ((iscalled == false) && (yield < indexDico["barrier"][0]))
{
payoff = yield * 100 * discount;
INSPOUT("ProbaDown", 1.0);
INSPOUT("AvgDown", yield);
}
else
{
payoff = 100.0 * discount;
INSPOUT("ProbaMid", 1.0);
}
// return payoff //
return(payoff);
}
private Sample <IPath> next(bool antithetic)
{
if (brownianBridge_)
{
Utils.QL_FAIL("Brownian bridge not supported");
return(null);
}
Sample <List <double> > sequence_ =
antithetic
? generator_.lastSequence()
: generator_.nextSequence();
int m = process_.size();
int n = process_.factors();
MultiPath path = (MultiPath)next_.value;
Vector asset = process_.initialValues();
for (int j = 0; j < m; j++)
{
path[j].setFront(asset[j]);
}
Vector temp;
next_.weight = sequence_.weight;
TimeGrid timeGrid = path[0].timeGrid();
double t, dt;
for (int i = 1; i < path.pathSize(); i++)
{
int offset = (i - 1) * n;
t = timeGrid[i - 1];
dt = timeGrid.dt(i - 1);
if (antithetic)
{
temp = -1 * new Vector(sequence_.value.GetRange(offset, n));
}
else
{
temp = new Vector(sequence_.value.GetRange(offset, n));
}
asset = process_.evolve(t, asset, dt, temp);
for (int j = 0; j < m; j++)
{
path[j][i] = asset[j];
}
}
return(next_);
}
public double value(IPath path)
{
MultiPath p = path as MultiPath;
Utils.QL_REQUIRE(p != null, () => "invalid path");
Utils.QL_REQUIRE(p.pathSize() > 0, () => "the path cannot be empty");
Vector states = new Vector(p.assetNumber());
for (int j = 0; j < states.size(); ++j)
{
states[j] = p[j][p.pathSize() - 1];
}
double df = 1.0 / process_.numeraire(exerciseTime_, states);
return(payoff_.value(states[0]) * df);
}
public abstract double value(MultiPath path);