public double value(IPath path)
{
MultiPath p = path as MultiPath;
Utils.QL_REQUIRE(p != null, () => "invalid path");
Utils.QL_REQUIRE(p.pathSize() > 0, () => "the path cannot be empty");
Vector states = new Vector(p.assetNumber());
for (int j = 0; j < states.size(); ++j)
{
states[j] = p[j][p.pathSize() - 1];
}
double df = 1.0 / process_.numeraire(exerciseTime_, states);
return(payoff_.value(states[0]) * df);
}
private Sample <IPath> next(bool antithetic)
{
if (brownianBridge_)
{
Utils.QL_FAIL("Brownian bridge not supported");
return(null);
}
Sample <List <double> > sequence_ =
antithetic
? generator_.lastSequence()
: generator_.nextSequence();
int m = process_.size();
int n = process_.factors();
MultiPath path = (MultiPath)next_.value;
Vector asset = process_.initialValues();
for (int j = 0; j < m; j++)
{
path[j].setFront(asset[j]);
}
Vector temp;
next_.weight = sequence_.weight;
TimeGrid timeGrid = path[0].timeGrid();
double t, dt;
for (int i = 1; i < path.pathSize(); i++)
{
int offset = (i - 1) * n;
t = timeGrid[i - 1];
dt = timeGrid.dt(i - 1);
if (antithetic)
{
temp = -1 * new Vector(sequence_.value.GetRange(offset, n));
}
else
{
temp = new Vector(sequence_.value.GetRange(offset, n));
}
asset = process_.evolve(t, asset, dt, temp);
for (int j = 0; j < m; j++)
{
path[j][i] = asset[j];
}
}
return(next_);
}