protected override PathPricer <IPath> pathPricer()
{
TimeGrid grid = this.timeGrid();
double discount = (this.process_ as GeneralizedBlackScholesProcess)
.riskFreeRate().currentLink().discount(grid.Last());
ContinuousFixedLookbackOption.Arguments arg1 = this.arguments_ as ContinuousFixedLookbackOption.Arguments;
ContinuousPartialFixedLookbackOption.Arguments arg2 = this.arguments_ as ContinuousPartialFixedLookbackOption.Arguments;
ContinuousFloatingLookbackOption.Arguments arg3 = this.arguments_ as ContinuousFloatingLookbackOption.Arguments;
ContinuousPartialFloatingLookbackOption.Arguments arg4 = this.arguments_ as ContinuousPartialFloatingLookbackOption.Arguments;
if (arg2 != null)
{
return(mc_looback_path_pricer(arg2, this.process_ as GeneralizedBlackScholesProcess, discount));
}
else if (arg1 != null)
{
return(mc_looback_path_pricer(arg1, this.process_ as GeneralizedBlackScholesProcess, discount));
}
else if (arg4 != null)
{
return(mc_looback_path_pricer(arg4, this.process_ as GeneralizedBlackScholesProcess, discount));
}
else if (arg3 != null)
{
return(mc_looback_path_pricer(arg3, this.process_ as GeneralizedBlackScholesProcess, discount));
}
else
{
return(null);
}
}
public LatticeShortRateModelEngine(ShortRateModel model,
TimeGrid timeGrid)
: base(model)
{
timeGrid_ = new TimeGrid(timeGrid.Last(), timeGrid.size() - 1 /*timeGrid.dt(1) - timeGrid.dt(0)*/);
timeGrid_ = timeGrid;
timeSteps_ = 0;
lattice_ = this.model_.link.tree(timeGrid);
}