const METPointer Event::MET() const {
return MET(Globals::metAlgorithm);
}
{
Fprintf(TOSCREENANDFILE,"First reset date greater than contract maturity!\n");
status+=1;
}
}
return status;
}
extern PricingMethod MET(TR_ZBO);
extern PricingMethod MET(TR_SWAPTION);
extern PricingMethod MET(TR_BERMUDANSWAPTION);
PricingMethod* MOD_OPT(methods)[]={
&MET(TR_ZBO),
&MET(TR_SWAPTION),
&MET(TR_BERMUDANSWAPTION),
NULL
};
DynamicTest* MOD_OPT(tests)[]={
NULL
};
Pricing MOD_OPT(pricing)={
ID_MOD_OPT,
MOD_OPT(methods),
MOD_OPT(tests),
MOD_OPT(ChkMix)
};
{
if ((ptOpt->PathDep.Val.V_NUMFUNC_2)->Par[4].Val.V_PDOUBLE<ptMod->S0.Val.V_PDOUBLE)
{
Fprintf(TOSCREENANDFILE,"Maximum lower than spot!\n");
status+=1;
};
}
return status;
}
extern PricingMethod MET(AP_Asian_FMMMER);
extern PricingMethod MET(AP_FixedAsian_FusaiMeucciMER);
extern PricingMethod MET(MC_Merton_FixedLookback);
extern PricingMethod MET(MC_Merton_FloatingLookback);
PricingMethod *MOD_OPT(methods)[]={
&MET(AP_Asian_FMMMER),
&MET(AP_FixedAsian_FusaiMeucciMER),
&MET(MC_Merton_FixedLookback),
&MET(MC_Merton_FloatingLookback),
NULL
};
DynamicTest* MOD_OPT(tests)[]={
NULL
};
Pricing MOD_OPT(pricing)={
ID_MOD_OPT,
MOD_OPT(methods),
MOD_OPT(tests),
MOD_OPT(ChkMix)
};
}
int CALC(AP_Asian_FMMKOU)(void *Opt,void *Mod,PricingMethod *Met)
{
return AVAILABLE_IN_FULL_PREMIA;
}
static int MET(Init)(PricingMethod *Met,Option *Opt)
{
if ( Met->init == 0)
{
Met->init=1;
Met->Par[0].Val.V_INT2=52;
Met->Par[1].Val.V_INT2=3000;
}
return OK;
}
PricingMethod MET(AP_Asian_FMMKOU)=
{
"AP_Asian_FMM_KOU",
{{"Nb.of Monitoring Dates",INT2,{2000},ALLOW },
{"Nb.of Integration Points ",INT2,{1000},ALLOW},
{" ",PREMIA_NULLTYPE,{0},FORBID}},
CALC(AP_Asian_FMMKOU),
{{"Price",DOUBLE,{100},FORBID},{"Delta",DOUBLE,{100},FORBID} ,{" ",PREMIA_NULLTYPE,{0},FORBID}},
CHK_OPT(AP_Asian_FMMKOU),
CHK_ok,
MET(Init)
};
int status=OK;
if ((ptOpt->Maturity.Val.V_DATE)<=(ptMod->T.Val.V_DATE))
{
Fprintf(TOSCREENANDFILE,"Current date greater than maturity!\n");
status+=1;
};
return status;
}
extern PricingMethod MET(AP_MedvedevScaillet);
extern PricingMethod MET(AP_GrzelakOosterlee);
PricingMethod* MOD_OPT(methods)[]={
&MET(AP_MedvedevScaillet),
&MET(AP_GrzelakOosterlee),
NULL
};
DynamicTest* MOD_OPT(tests)[]={
NULL
};
Pricing MOD_OPT(pricing)={
ID_MOD_OPT,
MOD_OPT(methods),
MOD_OPT(tests),
MOD_OPT(ChkMix)
};
#include "static_merton_stdr.h"
int MOD_OPT(ChkMix)(Option *Opt,Model *Mod)
{
return OK;
}
extern PricingMethod MET(AP_MASDEMONTORTIZ);
PricingMethod* MOD_OPT(methods)[]={
&MET(AP_MASDEMONTORTIZ),
NULL
};
DynamicTest* MOD_OPT(tests)[]={
NULL
};
Pricing MOD_OPT(pricing)={
ID_MOD_OPT,
MOD_OPT(methods),
MOD_OPT(tests),
MOD_OPT(ChkMix)
};
