public MaxBasketPathPricer(SparseVector underlying,
double discountFactor, bool useAntitheticVariance)
: base(discountFactor, useAntitheticVariance)
{
if (underlying.Min() <= 0.0)
{
throw new ArgumentException(nameof(underlying));
}
_underlying = underlying;
}
private void InitializeGenerator(IContinuousRng generator, Matrix covariance)
{
SparseVector diagonal = covariance.Diagonal;
if (Count != diagonal.Length)
{
throw new ArgumentException("TODO: Covariance matrix does not match number of assets");
}
if (diagonal.Min() < 0.0)
{
throw new ArgumentException("TODO: Covariance matrix contains negative variance.");
}
ArrayGenerator = new RandomArrayGenerator(generator, covariance);
}
///<summary>
///</summary>
///<param name="optionType"></param>
///<param name="underlying"></param>
///<param name="strike"></param>
///<param name="discountFactor"></param>
///<param name="useAntitheticVariance"></param>
///<exception cref="ArgumentException"></exception>
public BasketPathPricer(Option.Type optionType, SparseVector underlying,
double strike, double discountFactor, bool useAntitheticVariance)
: base(discountFactor, useAntitheticVariance)
{
if (underlying.Min() <= 0.0)
{
throw new ArgumentException("TODO: Price of underlying(s) must be positive.");
}
if (strike <= 0.0)
{
throw new ArgumentException("TODO: Strike price must be positive.");
}
_optionType = optionType;
_underlying = underlying;
_strike = strike;
}
