public DiscretizedVanillaOption(VanillaOption.Arguments args, StochasticProcess process, TimeGrid grid)
{
arguments_ = args;
stoppingTimes_ = new InitializedList <double>(args.exercise.dates().Count);
for (int i = 0; i < stoppingTimes_.Count; ++i)
{
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (!grid.empty())
{
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
public DiscretizedBarrierOption(BarrierOption.Arguments args, StochasticProcess process, TimeGrid grid = null)
{
arguments_ = args;
vanilla_ = new DiscretizedVanillaOption(arguments_, process, grid);
Utils.QL_REQUIRE(args.exercise.dates().Count > 0, () => "specify at least one stopping date");
stoppingTimes_ = new InitializedList <double>(args.exercise.dates().Count);
for (int i = 0; i < stoppingTimes_.Count; ++i)
{
stoppingTimes_[i] = process.time(args.exercise.date(i));
if (grid != null && !grid.empty())
{
// adjust to the given grid
stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);
}
}
}
// McSimulation implementation
protected override TimeGrid timeGrid()
{
Date lastExerciseDate = (arguments_ as OneAssetOption.Arguments).exercise.lastDate();
double t = process_.time(lastExerciseDate);
if (timeSteps_ != null)
{
return(new TimeGrid(t, timeSteps_.Value));
}
else if (timeStepsPerYear_ != null)
{
int steps = (int)(timeStepsPerYear_ * t);
return(new TimeGrid(t, Math.Max(steps, 1)));
}
else
{
Utils.QL_FAIL("time steps not specified");
return(null);
}
}
