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
}