void REPORT_FAILURE_FLOATING(string greekName,
double minmax,
FloatingTypePayoff payoff,
Exercise exercise,
double s,
double q,
double r,
Date today,
double v,
double expected,
double calculated,
double error,
double tolerance)
{
QAssert.Fail(exercise.GetType() + " "
+ payoff.optionType() + " lookback option with "
+ payoff + " payoff:\n"
+ " underlying value " + s + "\n"
+ " dividend yield: " + q + "\n"
+ " risk-free rate: " + r + "\n"
+ " reference date: " + today + "\n"
+ " maturity: " + exercise.lastDate() + "\n"
+ " volatility: " + v + "\n\n"
+ " expected " + greekName + ": " + expected + "\n"
+ " calculated " + greekName + ": " + calculated + "\n"
+ " error: " + error + "\n"
+ " tolerance: " + tolerance);
}
public override void validate()
{
base.validate();
EuropeanExercise europeanExercise = exercise as EuropeanExercise;
Utils.QL_REQUIRE(lookbackPeriodEnd <= europeanExercise.lastDate(), () =>
"lookback start date must be earlier than exercise date");
FloatingTypePayoff floatingTypePayoff = payoff as FloatingTypePayoff;
if (floatingTypePayoff.optionType() == Option.Type.Call)
{
Utils.QL_REQUIRE(lambda >= 1.0, () =>
"lambda should be greater than or equal to 1 for calls");
}
if (floatingTypePayoff.optionType() == Option.Type.Put)
{
Utils.QL_REQUIRE(lambda <= 1.0, () =>
"lambda should be smaller than or equal to 1 for puts");
}
}