public AmericanPathPricer(Payoff payoff, int polynomOrder, LsmBasisSystem.PolynomType polynomType)
{
scalingValue_ = 1;
payoff_ = payoff;
v_ = LsmBasisSystem.pathBasisSystem(polynomOrder, polynomType);
if (!(polynomType == LsmBasisSystem.PolynomType.Monomial ||
polynomType == LsmBasisSystem.PolynomType.Laguerre ||
polynomType == LsmBasisSystem.PolynomType.Hermite ||
polynomType == LsmBasisSystem.PolynomType.Hyperbolic ||
polynomType == LsmBasisSystem.PolynomType.Chebyshev2th))
{
throw new Exception("insufficient polynom type");
}
// the payoff gives an additional value
v_.Add(this.payoff);
StrikedTypePayoff strikePayoff = payoff_ as StrikedTypePayoff;
if (strikePayoff != null)
{
scalingValue_ /= strikePayoff.strike();
}
}
// int nCalibrationSamples = Null<Size>())
public MCAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int timeStepsPerYear,
bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance,
int maxSamples, ulong seed, int polynomOrder, LsmBasisSystem.PolynomType polynomType,
int nCalibrationSamples)
: base(process, timeSteps, timeStepsPerYear, false, antitheticVariate, controlVariate, requiredSamples,
requiredTolerance, maxSamples, seed, nCalibrationSamples)
{
polynomOrder_ = polynomOrder;
polynomType_ = polynomType;
}
public MCLDAmericanEngine(GeneralizedBlackScholesProcess process, int timeSteps, int timeStepsPerYear, bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance, int maxSamples, int seed, int polynomOrder, LsmBasisSystem.PolynomType polynomType) : this(NQuantLibcPINVOKE.new_MCLDAmericanEngine__SWIG_3(GeneralizedBlackScholesProcess.getCPtr(process), timeSteps, timeStepsPerYear, antitheticVariate, controlVariate, requiredSamples, requiredTolerance, maxSamples, seed, polynomOrder, (int)polynomType), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MCPRAmericanBasketEngine(StochasticProcessArray process, int timeSteps, int timeStepsPerYear, bool brownianBridge, bool antitheticVariate, int requiredSamples, double requiredTolerance, int maxSamples, int seed, uint nCalibrationSamples, uint polynomOrder, LsmBasisSystem.PolynomType polynomType) : this(NQuantLibcPINVOKE.new_MCPRAmericanBasketEngine__SWIG_0(StochasticProcessArray.getCPtr(process), timeSteps, timeStepsPerYear, brownianBridge, antitheticVariate, requiredSamples, requiredTolerance, maxSamples, seed, nCalibrationSamples, polynomOrder, (int)polynomType), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MCAmericanEngine(GeneralizedBlackScholesProcess process, string traits, int timeSteps, int timeStepsPerYear, bool antitheticVariate, bool controlVariate, int requiredSamples, double requiredTolerance, int maxSamples, int seed, int polynomOrder, LsmBasisSystem.PolynomType polynomType, int nCalibrationSamples, SWIGTYPE_p_boost__optionalT_bool_t antitheticVariateCalibration, uint seedCalibration) : this(NQuantLibcPINVOKE.new_MCAmericanEngine__SWIG_0(GeneralizedBlackScholesProcess.getCPtr(process), traits, timeSteps, timeStepsPerYear, antitheticVariate, controlVariate, requiredSamples, requiredTolerance, maxSamples, seed, polynomOrder, (int)polynomType, nCalibrationSamples, SWIGTYPE_p_boost__optionalT_bool_t.getCPtr(antitheticVariateCalibration), seedCalibration), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
