public virtual void setupArguments(IPricingEngineArguments a)
{
OneAssetOption.Arguments args = a as OneAssetOption.Arguments;
Utils.QL_REQUIRE(args != null, () => "incorrect argument type");
exerciseDate_ = args.exercise.lastDate();
payoff_ = args.payoff;
}
public FdmLogInnerValue(Payoff payoff,
FdmMesher mesher,
int direction)
{
payoff_ = payoff;
mesher_ = mesher;
direction_ = direction;
avgInnerValues_ = new List <double>();
}
public AmericanPathPricer(Payoff payoff, int polynomOrder, LsmBasisSystem.PolynomType polynomType)
{
scalingValue_ = 1;
payoff_ = payoff;
v_ = LsmBasisSystem.pathBasisSystem(polynomOrder, polynomType);
Utils.QL_REQUIRE((polynomType == LsmBasisSystem.PolynomType.Monomial ||
polynomType == LsmBasisSystem.PolynomType.Laguerre ||
polynomType == LsmBasisSystem.PolynomType.Hermite ||
polynomType == LsmBasisSystem.PolynomType.Hyperbolic ||
polynomType == LsmBasisSystem.PolynomType.Chebyshev2th), () => "insufficient polynom type");
// the payoff gives an additional value
v_.Add(this.payoff);
StrikedTypePayoff strikePayoff = payoff_ as StrikedTypePayoff;
if (strikePayoff != null)
{
scalingValue_ /= strikePayoff.strike();
}
}
public void visit(Payoff p)
{
Utils.QL_FAIL("unsupported payoff type: " + p.name());
}
public StrikedTypePayoff(Payoff p)
: base((p as StrikedTypePayoff).type_)
{
strike_ = (p as StrikedTypePayoff).strike_;
}
public HestonHullWhitePathPricer(double exerciseTime, Payoff payoff, HybridHestonHullWhiteProcess process)
{
exerciseTime_ = exerciseTime;
payoff_ = payoff;
process_ = process;
}
public PayoffWrapper(Payoff p)
{
payoff_ = p;
}
protected CurveDependentStepCondition(Payoff p)
{
curveItem_ = new PayoffWrapper(p);
}
public PayoffWrapper(Option.Type type, double strike)
{
payoff_ = new PlainVanillaPayoff(type, strike);
}
