public static double GetPayOff(string cpflg, double[] Wgt, double[] S, double X, double T, double r, double[] b, double[] v, Matrix <double> cholesky, int p)
{
double option_price = double.NaN;
int num = S.Length;
double[] ST0_vec = new double[num];
double[] ST0_antithetic_vec = new double[num];
double ST0_sum = 0;
double ST0_antithetic_sum = 0;
double[] fi_vec = new double[num];
//double b = Normal.Sample(new MersenneTwister(), 0.0, 1.0);
//double[] c = new double[num];
//Normal.Samples(c, 0.0, 1.0);
Halton ht = new Halton(num, p + 1);
double[] c = ht.GetNextGaussian();
for (var i = 0; i < num; i++)
{
double _fi = 0;
for (var j = 0; j < num; j++)
{
_fi = _fi + cholesky[i, j] * c[j];
}
fi_vec[i] = _fi;
ST0_vec[i] = Wgt[i] * GetST0(S[i], T, b[i], v[i], _fi);
ST0_antithetic_vec[i] = Wgt[i] * GetST0_Antithetic(S[i], T, b[i], v[i], _fi);
ST0_sum = ST0_sum + ST0_vec[i];
ST0_antithetic_sum = ST0_antithetic_sum + ST0_antithetic_vec[i];
}
if (cpflg == "c")
{
option_price = (Math.Max(ST0_sum - X, 0) + Math.Max(ST0_antithetic_sum - X, 0)) / 2.0;
}
else if (cpflg == "p")
{
option_price = (Math.Max(-ST0_sum + X, 0) + Math.Max(-ST0_antithetic_sum + X, 0)) / 2.0;
}
else
{
option_price = double.NaN;
}
return(option_price);
}
public static double GetPayOff(string BestOrWorstFlg, double[] S, double[] X, double T, double r, double[] b, double[] v, Matrix <double> cholesky, int p)
{
double option_price = double.NaN;
int num = S.Length;
double[] ST0_vec = new double[num];
double[] ST0_antithetic_vec = new double[num];
double[] po = new double[num];
double[] fi_vec = new double[num];
//double b = Normal.Sample(new MersenneTwister(), 0.0, 1.0);
//double[] c = new double[num];
//Normal.Samples(c, 0.0, 1.0);
Halton ht = new Halton(num, p + 1);
double[] c = ht.GetNextGaussian();
for (var i = 0; i < num; i++)
{
double _fi = 0;
for (var j = 0; j < num; j++)
{
_fi = _fi + cholesky[i, j] * c[j];
}
fi_vec[i] = _fi;
ST0_vec[i] = GetST0(S[i], T, b[i], v[i], _fi);
//ST0_antithetic_vec[i] = (GetST0_Antithetic(S[i], T, b[i], v[i], _fi) + GetST0(S[i], T, b[i], v[i], _fi))/2;
po[i] = Math.Max(ST0_vec[i] - X[i], 0);
//po[i] = Math.Max(ST0_antithetic_vec[i] - X[i],0);
}
if (BestOrWorstFlg == "b")
{
option_price = po.Max();
}
else if (BestOrWorstFlg == "w")
{
option_price = po.Min();
}
else
{
option_price = double.NaN;
}
return(option_price);
}
