Option :: Option(){
T_ = 0.;
timeStep_ = 0;
size_ = 0;
r_ = 0.;
Coeff_ = pnl_vect_new();
}
static void derive_approx_fonction(PnlBasis *B, PnlVect *D, PnlVect *alpha, double t, double x)
{
double sum0, sum1, sum2, sum3;
double arg[2];
PnlMat *Hes = pnl_mat_new();
PnlVect *grad = pnl_vect_new();
arg[0] = t; arg[1] = x;
sum0=0.0;//calcule la valeur de la fonction
sum1=0.0;//calcule la valeur de sa derivee en x
sum2=0.0;//calcule la valeur de sa derivee seconde en x
sum3=0.0;//calcule la valeur de sa derivee en t
/* sum0 = pnl_basis_eval (B, alpha, arg);
* sum1 = pnl_basis_eval_D (B, alpha, arg, 1);
* sum2 = pnl_basis_eval_D2 (B, alpha, arg, 1, 1);
* sum3 = pnl_basis_eval_D (B, alpha, arg, 0);
*
* LET(D,0)=sum0;
* LET(D,1)=sum1;
* LET(D,2)=sum2;
* LET(D,3)=sum3; */
pnl_basis_eval_derivs (B, alpha, arg, &sum0, grad, Hes);
LET(D,3) = GET(grad,0);
LET(D,1) = GET(grad,1);
LET(D,0) = sum0;
LET(D,2) = PNL_MGET(Hes, 1, 1);
LET(D,4) = PNL_MGET(Hes, 0, 1);
pnl_mat_free (&Hes);
pnl_vect_free (&grad);
}
static void prix(PnlMat *res, PnlMat *res_no_call, int M, int N, PnlMat *asset, PnlVectInt *res_theta, double spot, double T, param *P, PnlBasis *basis)
{
int i,j;
double Sij,mu_ij,v0;
PnlVect *Si,*V_iplus1,*alpha, *c_iplus1;//(ligne i de la matrice)
PnlMat MSi;
double h=T/N;
Si=pnl_vect_new();
c_iplus1=pnl_vect_create(M);
alpha=pnl_vect_new();
V_iplus1=pnl_vect_new();
pnl_mat_resize(res,N+1,M);
prix_no_call(res_no_call,M,N,asset,spot,T,P,basis);
for(j=0;j<M;j++) pnl_mat_set(res,N,j,(pnl_mat_get(res_no_call,N,j)));
for(i=N-1;i>=1;i--)
{
for(j=0;j<M;j++) pnl_vect_set(c_iplus1,j,c(pnl_mat_get(asset,i+1,j),spot,P)*h);
pnl_mat_get_row(Si,asset,i);
pnl_vect_mult_double(Si,1.0/spot);
pnl_mat_get_row(V_iplus1,res,i+1);
pnl_vect_plus_vect(V_iplus1,c_iplus1);
MSi = pnl_mat_wrap_vect(Si);
pnl_basis_fit_ls(basis,alpha,&MSi,V_iplus1);
for(j=0;j<M;j++)
{
Sij=pnl_mat_get(asset,i,j)/spot;
mu_ij=mu(spot,spot*Sij,P);
if(i>=pnl_vect_int_get(res_theta,j)) { pnl_mat_set(res,i,j,pnl_mat_get(res_no_call,i,j));}
else pnl_mat_set(res,i,j,MAX(low(spot*Sij,P),exp(-mu_ij*h)*pnl_basis_eval(basis,alpha,&Sij)));
}
}
pnl_mat_get_row(V_iplus1,res,1);
for(j=0;j<M;j++) pnl_vect_set(c_iplus1,j,c(pnl_mat_get(asset,1,j),spot,P)*h);
pnl_vect_plus_vect(V_iplus1,c_iplus1);
v0=pnl_vect_sum(V_iplus1)/M;
v0=MAX(low(spot,P),exp(-mu(spot,spot,P)*h)*v0);
for(j=0;j<M;j++)
{
if(pnl_vect_int_get(res_theta,j)==0) pnl_mat_set(res,0,j,pnl_mat_get(res_no_call,i,j));
else pnl_mat_set(res,0,j,v0);
}
pnl_vect_free(&Si);
pnl_vect_free(&c_iplus1);
pnl_vect_free(&V_iplus1);
pnl_vect_free(&alpha);
}
double Barrier::payoff(const PnlMat *path) {
PnlVect * lastrow = pnl_vect_new();
pnl_mat_get_row(lastrow, path, TimeSteps_-1);
double prod = pnl_vect_scalar_prod(lastrow, payOffCoeff_) - S_;
pnl_vect_free(&lastrow);
if (std::max(prod,0.0) == 0.0) {
return 0.0;
}
for (int i = 0; i < size_; i++) {
for (int j = 0; j < TimeSteps_; j++) {
if (MGET(path, j, i) < GET(lowerBarrier_, i) || MGET(path, j, i) > GET(upperBarrier_, i)) {
return 0.0;
}
}
}
return prod;
}
Barrier_u :: Barrier_u() : Option() {
strike_ = 0;
Bu_ = pnl_vect_new();
}
Barrier_l :: Barrier_l() : Option() {
Strike_ = 0;
Coeff_ = pnl_vect_new();
Bl_ = pnl_vect_new();
}
Barrier_l :: Barrier_l() : Option() {
strike_ = 0;
Bl_ = pnl_vect_new();
}
Barrier_u :: Barrier_u() : Option() {
Strike_ = 0;
Coeff_ = pnl_vect_new();
Bu_ = pnl_vect_new();
}
