protected override PathPricer <IPath> pathPricer()
{
Exercise exercise = arguments_.exercise;
Utils.QL_REQUIRE(exercise.type() == Exercise.Type.European, () => "only european exercise is supported");
double exerciseTime = process_.time(exercise.lastDate());
return(new HestonHullWhitePathPricer(exerciseTime, this.arguments_.payoff, (HybridHestonHullWhiteProcess)process_));
}
public static FdmStepConditionComposite vanillaComposite(DividendSchedule cashFlow,
Exercise exercise,
FdmMesher mesher,
FdmInnerValueCalculator calculator,
Date refDate,
DayCounter dayCounter)
{
List <List <double> > stoppingTimes = new List <List <double> >();
List <IStepCondition <Vector> > stepConditions = new List <IStepCondition <Vector> >();
if (!cashFlow.empty())
{
FdmDividendHandler dividendCondition =
new FdmDividendHandler(cashFlow, mesher,
refDate, dayCounter, 0);
stepConditions.Add(dividendCondition);
stoppingTimes.Add(dividendCondition.dividendTimes());
}
Utils.QL_REQUIRE(exercise.type() == Exercise.Type.American ||
exercise.type() == Exercise.Type.European ||
exercise.type() == Exercise.Type.Bermudan,
() => "exercise type is not supported");
if (exercise.type() == Exercise.Type.American)
{
stepConditions.Add(new FdmAmericanStepCondition(mesher, calculator));
}
else if (exercise.type() == Exercise.Type.Bermudan)
{
FdmBermudanStepCondition bermudanCondition =
new FdmBermudanStepCondition(exercise.dates(),
refDate, dayCounter,
mesher, calculator);
stepConditions.Add(bermudanCondition);
stoppingTimes.Add(bermudanCondition.exerciseTimes());
}
return(new FdmStepConditionComposite(stoppingTimes, stepConditions));
}
protected override PathPricer <IPath> controlPathPricer()
{
HybridHestonHullWhiteProcess process = process_ as HybridHestonHullWhiteProcess;
Utils.QL_REQUIRE(process != null, () => "invalid process");
HestonProcess hestonProcess = process.hestonProcess();
Utils.QL_REQUIRE(hestonProcess != null, () =>
"first constituent of the joint stochastic process need to be of type HestonProcess");
Exercise exercise = this.arguments_.exercise;
Utils.QL_REQUIRE(exercise.type() == Exercise.Type.European, () => "only european exercise is supported");
double exerciseTime = process.time(exercise.lastDate());
return(new HestonHullWhitePathPricer(exerciseTime, this.arguments_.payoff, process));
}
