inline boost::shared_ptr<LongstaffSchwartzMultiPathPricer>
MCAmericanPathEngine<RNG>::lsmPathPricer() const {
boost::shared_ptr<StochasticProcessArray> processArray =
boost::dynamic_pointer_cast<StochasticProcessArray>(this->process_);
QL_REQUIRE(processArray && processArray->size()>0,
"Stochastic process array required");
boost::shared_ptr<GeneralizedBlackScholesProcess> process =
boost::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(
processArray->process(0));
QL_REQUIRE(process, "generalized Black-Scholes process required");
const TimeGrid theTimeGrid = this->timeGrid();
const std::vector<Time> & times = theTimeGrid.mandatoryTimes();
const Size numberOfTimes = times.size();
const std::vector<Date> & fixings = this->arguments_.fixingDates;
QL_REQUIRE(fixings.size() == numberOfTimes, "Invalid dates/times");
std::vector<Size> timePositions(numberOfTimes);
Array discountFactors(numberOfTimes);
std::vector<Handle<YieldTermStructure> > forwardTermStructures(numberOfTimes);
const Handle<YieldTermStructure> & riskFreeRate = process->riskFreeRate();
for (Size i = 0; i < numberOfTimes; ++i) {
timePositions[i] = theTimeGrid.index(times[i]);
discountFactors[i] = riskFreeRate->discount(times[i]);
forwardTermStructures[i] = Handle<YieldTermStructure>(
boost::make_shared<ImpliedTermStructure>(riskFreeRate,
fixings[i]));
}
const Size polynomialOrder = 2;
const LsmBasisSystem::PolynomType polynomType = LsmBasisSystem::Monomial;
return boost::shared_ptr<LongstaffSchwartzMultiPathPricer> (
new LongstaffSchwartzMultiPathPricer(this->arguments_.payoff,
timePositions,
forwardTermStructures,
discountFactors,
polynomialOrder,
polynomType));
}
inline
boost::shared_ptr<typename MCPathBasketEngine<RNG,S>::path_pricer_type>
MCPathBasketEngine<RNG,S>::pathPricer() const {
boost::shared_ptr<PathPayoff> payoff = arguments_.payoff;
QL_REQUIRE(payoff, "non-basket payoff given");
boost::shared_ptr<GeneralizedBlackScholesProcess> process =
boost::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(
process_->process(0));
QL_REQUIRE(process, "Black-Scholes process required");
const TimeGrid theTimeGrid = timeGrid();
const std::vector<Time> & times = theTimeGrid.mandatoryTimes();
const Size numberOfTimes = times.size();
const std::vector<Date> & fixings = this->arguments_.fixingDates;
QL_REQUIRE(fixings.size() == numberOfTimes, "Invalid dates/times");
std::vector<Size> timePositions(numberOfTimes);
Array discountFactors(numberOfTimes);
std::vector<Handle<YieldTermStructure> > forwardTermStructures(numberOfTimes);
const Handle<YieldTermStructure> & riskFreeRate = process->riskFreeRate();
for (Size i = 0; i < numberOfTimes; ++i) {
timePositions[i] = theTimeGrid.index(times[i]);
discountFactors[i] = riskFreeRate->discount(times[i]);
forwardTermStructures[i] = Handle<YieldTermStructure>(
new ImpliedTermStructure(riskFreeRate, fixings[i]));
}
return boost::shared_ptr<
typename MCPathBasketEngine<RNG,S>::path_pricer_type>(
new EuropeanPathMultiPathPricer(payoff, timePositions,
forwardTermStructures,
discountFactors));
}
