public double value(IPath path)
{
Utils.QL_REQUIRE(!(path as Path).empty(), () => "the path cannot be empty");
TimeGrid doubleGrid = (path as Path).timeGrid();
int endIndex = doubleGrid.closestIndex(lookbackEnd_);
double terminalPrice = (path as Path).back();
double strike;
switch (payoff_.optionType())
{
case Option.Type.Call:
strike = (path as Path).values().GetRange(0, endIndex).Min();
break;
case Option.Type.Put:
strike = (path as Path).values().GetRange(0, endIndex).Max();
break;
default:
strike = 0.0;
Utils.QL_FAIL("unknown option type");
break;
}
return(payoff_.value(terminalPrice, strike) * discount_);
}
public double value(IPath path)
{
Utils.QL_REQUIRE(!(path as Path).empty(), () => "the path cannot be empty");
TimeGrid doubleGrid = (path as Path).timeGrid();
int startIndex = doubleGrid.closestIndex(lookbackStart_);
double underlying;
switch (payoff_.optionType())
{
case Option.Type.Put:
underlying = (path as Path).values().GetRange(startIndex, (path as Path).values().Count - startIndex).Min();
break;
case Option.Type.Call:
underlying = (path as Path).values().GetRange(startIndex, (path as Path).values().Count - startIndex).Max();
break;
default:
underlying = 0.0;
Utils.QL_FAIL("unknown option type");
break;
}
return(payoff_.value(underlying) * discount_);
}