public LookbackPartialFloatingPathPricer(double lookbackEnd,
Option.Type type,
double discount)
{
lookbackEnd_ = lookbackEnd;
payoff_ = new FloatingTypePayoff(type);
discount_ = discount;
}
protected PathPricer <IPath> mc_looback_path_pricer(ContinuousFloatingLookbackOption.Arguments args,
GeneralizedBlackScholesProcess process,
double discount)
{
FloatingTypePayoff payoff = args.payoff as FloatingTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "non-floating payoff given");
return(new LookbackFloatingPathPricer(payoff.optionType(),
discount));
}
public override void calculate()
{
FloatingTypePayoff payoff = arguments_.payoff as FloatingTypePayoff;
Utils.QL_REQUIRE(payoff != null, () => "Non-floating payoff given");
Utils.QL_REQUIRE(process_.x0() > 0.0, () => "negative or null underlying");
switch (payoff.optionType())
{
case Option.Type.Call:
results_.value = A(1);
break;
case Option.Type.Put:
results_.value = A(-1);
break;
default:
Utils.QL_FAIL("Unknown type");
break;
}
}
public LookbackFloatingPathPricer(Option.Type type,
double discount)
{
payoff_ = new FloatingTypePayoff(type);
discount_ = discount;
}
