public override double value(double x)
{
if (x.IsNotEqual(vol_.value()))
{
vol_.setValue(x);
engine_.calculate();
}
return(results_.value.Value - targetValue_);
}
protected override double?controlVariateValue()
{
IPricingEngine controlPE = this.controlPricingEngine();
Utils.QL_REQUIRE(controlPE != null, () => "engine does not provide control variation pricing engine");
DiscreteAveragingAsianOption.Arguments controlArguments =
(DiscreteAveragingAsianOption.Arguments)controlPE.getArguments();
controlArguments = arguments_;
controlPE.calculate();
DiscreteAveragingAsianOption.Results controlResults =
(DiscreteAveragingAsianOption.Results)(controlPE.getResults());
return(controlResults.value);
}
protected override double?controlVariateValue()
{
IPricingEngine controlPE = controlPricingEngine();
Utils.QL_REQUIRE(controlPE != null, () => "engine does not provide control variation pricing engine");
VanillaOption.Arguments controlArguments = controlPE.getArguments() as VanillaOption.Arguments;
controlArguments = arguments_;
controlArguments.exercise = new EuropeanExercise(arguments_.exercise.lastDate());
controlPE.calculate();
VanillaOption.Results controlResults = controlPE.getResults() as VanillaOption.Results;
return(controlResults.value);
}
protected override double controlVariateValue()
{
IPricingEngine controlPE = controlPricingEngine();
if (controlPE == null)
{
throw new Exception("engine does not provide control variation pricing engine");
}
VanillaOption.Arguments controlArguments = controlPE.getArguments() as VanillaOption.Arguments;
controlArguments = arguments_;
controlArguments.exercise = new EuropeanExercise(arguments_.exercise.lastDate());
controlPE.calculate();
VanillaOption.Results controlResults = controlPE.getResults() as VanillaOption.Results;
return(controlResults.value.GetValueOrDefault());
}
protected override double controlVariateValue()
{
IPricingEngine controlPE = this.controlPricingEngine();
if (controlPE == null)
{
throw new ApplicationException("engine does not provide " +
"control variation pricing engine");
}
DiscreteAveragingAsianOption.Arguments controlArguments =
(DiscreteAveragingAsianOption.Arguments)controlPE.getArguments();
controlArguments = arguments_;
controlPE.calculate();
DiscreteAveragingAsianOption.Results controlResults =
(DiscreteAveragingAsianOption.Results)(controlPE.getResults());
return(controlResults.value.GetValueOrDefault());
}
public override double value(double x)
{
vol_.setValue(x);
engine_.calculate();
return(results_.value.GetValueOrDefault() - targetValue_);
}
