public double getPrice(Vector <double> RHS)
{ // Backward induction; calculate the price based on discete payoff function at t = T
double pr = str.probValue();
// Initialise the vector at the expiry date/MaxIndex
int ei = lattice.MaxIndex;
// Exception handling: sizes of RHS and base vector must be the same
for (int i = 0; i < lattice.NumberColumns(ei); i++)
{
lattice[ei, i] = RHS[i];
}
double S; // Value at node [n,i] before it gets overwritten
// Loop from the max index to the start (min) index
for (int n = lattice.MaxIndex - 1; n >= lattice.MinIndex; n--)
{
for (int i = 0; i < lattice.NumberColumns(n); i++)
{
S = lattice[n, i];
lattice[n, i] = disc * (pr * lattice[n + 1, i + 1] + (1.0 - pr) * lattice[n + 1, i]);
// Now take early exercise into account
if (constraintExists)
{
lattice[n, i] = con(lattice[n, i], S);
}
}
}
int si = lattice.MinIndex;
return(lattice[si, si]);
}
