public DiscretizedVanillaOption(VanillaOption.Arguments args, StochasticProcess process, TimeGrid grid) {
arguments_ = args;
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.empty()) {
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
public DiscretizedVanillaOption(VanillaOption.Arguments args, StochasticProcess process, TimeGrid grid)
{
arguments_ = args;
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.empty())
{
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
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 DiscretizedConvertible(ConvertibleBond.option.Arguments args,
GeneralizedBlackScholesProcess process, TimeGrid grid)
{
arguments_ = args;
process_ = process;
dividendValues_ = new Vector(arguments_.dividends.Count, 0.0);
Date settlementDate = process.riskFreeRate().link.referenceDate();
for (int i = 0; i < arguments_.dividends.Count; i++)
{
if (arguments_.dividends[i].date() >= settlementDate)
{
dividendValues_[i] = arguments_.dividends[i].amount() *
process.riskFreeRate().link.discount(arguments_.dividends[i].date());
}
}
DayCounter dayCounter = process.riskFreeRate().currentLink().dayCounter();
Date bondSettlement = arguments_.settlementDate;
stoppingTimes_ = new InitializedList <double>(arguments_.exercise.dates().Count, 0.0);
for (var i = 0; i < stoppingTimes_.Count; i++)
{
stoppingTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.exercise.date(i));
}
callabilityTimes_ = new InitializedList <double>(arguments_.callabilityDates.Count, 0.0);
for (var i = 0; i < callabilityTimes_.Count; i++)
{
callabilityTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.callabilityDates[i]);
}
couponTimes_ = new InitializedList <double>(arguments_.couponDates.Count, 0.0);
for (var i = 0; i < couponTimes_.Count; i++)
{
couponTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.couponDates[i]);
}
dividendTimes_ = new InitializedList <double>(arguments_.dividendDates.Count, 0.0);
for (var i = 0; i < dividendTimes_.Count; i++)
{
dividendTimes_[i] = dayCounter.yearFraction(bondSettlement, arguments_.dividendDates[i]);
}
if (!grid.empty())
{
// adjust times to grid
for (var i = 0; i < stoppingTimes_.Count; i++)
{
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
for (var i = 0; i < couponTimes_.Count; i++)
{
couponTimes_[i] = grid.closestTime(couponTimes_[i]);
}
for (var i = 0; i < dividendTimes_.Count; i++)
{
dividendTimes_[i] = grid.closestTime(dividendTimes_[i]);
}
for (var i = 0; i < callabilityTimes_.Count; i++)
{
callabilityTimes_[i] = grid.closestTime(callabilityTimes_[i]);
}
}
}