/// <summary>
/// Given one or more paths, the value of an option is returned.
/// </summary>
/// <param name="path"></param>
/// <returns></returns>
public override double Value(Path[] path)
{
if (path.Length != 1)
{
throw new ArgumentException("TODO: exactly one path required ({0} given).");
}
int n = path[0].Count;
if (n == 0)
{
throw new ArgumentException("TODO: the path cannot be empty.");
}
double price1 = 1.0;
double averagePrice1 = 0.0;
var p1 = path[0].Drift + path[0].Diffusion;
UnaryFunction uf = Math.Exp;
p1.Apply(uf);
if (UseAntitheticVariance)
{
// see below for a SparseVectorized version
double price2 = 1.0;
double averagePrice2 = 0.0;
SparseVector p2 = path[0].Drift - path[0].Diffusion;
p2.Apply(uf);
for (int i = 0; i < n; i++)
{
price1 *= p1.Data[i];
averagePrice1 += price1;
price2 *= p2.Data[i];
averagePrice2 += price2;
}
averagePrice1 = _underlying * averagePrice1 / n;
averagePrice2 = _underlying * averagePrice2 / n;
return(Discount * (
Option.ExercisePayoff(_optionType, averagePrice1, _strike) +
Option.ExercisePayoff(_optionType, averagePrice2, _strike)
) / 2.0);
}
// p1.AdjacentDifference(new BinaryFunction(mult));
// averagePrice1 = underlying * p1.Sum() / n
for (int i = 0; i < n; i++)
{
price1 *= p1.Data[i];
averagePrice1 += price1;
}
averagePrice1 = _underlying * averagePrice1 / n;
return(Discount *
Option.ExercisePayoff(_optionType, averagePrice1, _strike));
}
