public double value(Path path)
{
int n = path.length() - 1;
Utils.QL_REQUIRE(n > 0, () => "the path cannot be empty");
double averagePrice;
double product = runningProduct_;
int fixings = n + pastFixings_;
if (path.timeGrid().mandatoryTimes()[0].IsEqual(0.0))
{
fixings += 1;
product *= path.front();
}
// care must be taken not to overflow product
double maxValue = double.MaxValue;
averagePrice = 1.0;
for (int i = 1; i < n + 1; i++)
{
double price = path[i];
if (product < maxValue / price)
{
product *= price;
}
else
{
averagePrice *= Math.Pow(product, 1.0 / (double)fixings);
product = price;
}
}
averagePrice *= Math.Pow(product, 1.0 / fixings);
return(discount_ * payoff_.value(averagePrice));
}