/// <summary>
/// 获取行权收益
/// </summary>
/// <param name="pricePath">价格路径</param>
/// <returns>行权收益</returns>
//this one is used in Monte Carlo, and Monte carlo is used to Pricing European option
public override Cashflow[] GetPayoff(Dictionary <Date, double> pricePath)
{
if (Exercise == OptionExercise.European)
{
return(GetPayoff(new[] { pricePath[ExerciseDates.Single()] }));
}
else
{
//American or Bermudan
return(GetPayoff(new[] { pricePath[ExerciseDates.Single()] }));
}
}
public override IOption Clone(OptionExercise exercise)
{
var newExerciseSchedule = (exercise == OptionExercise.European) ? new Date[] { ExerciseDates.Last() } : ExerciseDates;
return(new LookbackOption(
startDate: this.StartDate,
maturityDate: this.UnderlyingMaturityDate,
exercise: exercise,
strikeStyle: this.StrikeStyle,
optionType: this.OptionType,
strike: this.Strike,
underlyingInstrumentType: this.UnderlyingProductType,
calendar: this.Calendar,
dayCount: this.DayCount,
payoffCcy: this.PayoffCcy,
settlementCcy: this.SettlementCcy,
fixings: this.Fixings,
exerciseDates: newExerciseSchedule,
observationDates: this.ObservationDates,
notional: this.Notional,
settlementGap: this.SettlmentGap,
optionPremiumPaymentDate: this.OptionPremiumPaymentDate,
optionPremium: this.OptionPremium,
isMoneynessOption: this.IsMoneynessOption,
initialSpotPrice: this.InitialSpotPrice,
dividends: this.Dividends,
hasNightMarket: this.HasNightMarket,
commodityFuturesPreciseTimeMode: this.CommodityFuturesPreciseTimeMode));
}
