| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | #include <ql/experimental/exoticoptions/mchimalayaengine.hpp> |
| 21 | #include <ql/payoff.hpp> |
| 22 | #include <utility> |
| 23 | |
| 24 | namespace QuantLib { |
| 25 | |
| 26 | HimalayaMultiPathPricer::HimalayaMultiPathPricer(ext::shared_ptr<Payoff> payoff, |
| 27 | DiscountFactor discount) |
| 28 | : payoff_(std::move(payoff)), discount_(discount) {} |
| 29 | |
| 30 | Real HimalayaMultiPathPricer::operator()(const MultiPath& multiPath) |
| 31 | const { |
| 32 | Size numAssets = multiPath.assetNumber(); |
| 33 | Size numNodes = multiPath.pathSize(); |
| 34 | QL_REQUIRE(numAssets > 0, "no asset given"); |
| 35 | |
| 36 | std::vector<bool> remainingAssets(numAssets, true); |
| 37 | Real averagePrice = 0.0; |
| 38 | Size fixings = numNodes-1; |
| 39 | for (Size i = 1; i < numNodes; i++) { |
| 40 | Real bestPrice = 0.0; |
| 41 | Real bestYield = QL_MIN_REAL; |
| 42 | // dummy assignement to avoid compiler warning |
| 43 | Size removeAsset = 0; |
| 44 | for (Size j = 0; j < numAssets; j++) { |
| 45 | if (remainingAssets[j]) { |
| 46 | Real price = multiPath[j][i]; |
| 47 | Real yield = price/multiPath[j].front(); |
| 48 | if (yield >= bestYield) { |
| 49 | bestPrice = price; |
| 50 | bestYield = yield; |
| 51 | removeAsset = j; |
| 52 | } |
| 53 | } |
| 54 | } |
| 55 | remainingAssets[removeAsset] = false; |
| 56 | averagePrice += bestPrice; |
| 57 | } |
| 58 | averagePrice /= std::min(a: fixings, b: numAssets); |
| 59 | |
| 60 | Real payoff = (*payoff_)(averagePrice); |
| 61 | return payoff * discount_; |
| 62 | } |
| 63 | |
| 64 | } |
| 65 | |
| 66 |