Array AmericanBasketPathPricer::state(const MultiPath& path,
Size t) const {
QL_REQUIRE(path.assetNumber() == assetNumber_, "invalid multipath");
Array tmp(assetNumber_);
for (Size i=0; i<assetNumber_; ++i) {
tmp[i] = path[i][t]*scalingValue_;
}
return tmp;
}
Real EuropeanMultiPathPricer::operator()(const MultiPath& multiPath)
const {
Size n = multiPath.pathSize();
QL_REQUIRE(n>0, "the path cannot be empty");
Size numAssets = multiPath.assetNumber();
QL_REQUIRE(numAssets>0, "there must be some paths");
Size j;
// calculate the final price of each asset
Array finalPrice(numAssets, 0.0);
for (j = 0; j < numAssets; j++)
finalPrice[j] = multiPath[j].back();
return (*payoff_)(finalPrice) * discount_;
}
Real EverestMultiPathPricer::operator()(const MultiPath& multiPath) const {
Size n = multiPath.pathSize();
QL_REQUIRE(n>0, "the path cannot be empty");
Size numAssets = multiPath.assetNumber();
QL_REQUIRE(numAssets>0, "there must be some paths");
// We search the yield min
Real minYield = multiPath[0].back() / multiPath[0].front() - 1.0;
for (Size j=1; j<numAssets; ++j) {
Rate yield = multiPath[j].back() / multiPath[j].front() - 1.0;
minYield = std::min(minYield, yield);
}
return (1.0 + minYield + guarantee_) * notional_ * discount_;
}
Real PagodaMultiPathPricer::operator()(const MultiPath& multiPath) const {
Size numAssets = multiPath.assetNumber();
Size numSteps = multiPath.pathSize();
Real averagePerformance = 0.0;
for (Size i = 1; i < numSteps; i++) {
for (Size j = 0; j < numAssets; j++) {
averagePerformance +=
multiPath[j].front() *
(multiPath[j][i]/multiPath[j][i-1] - 1.0);
}
}
averagePerformance /= numAssets;
return discount_ * fraction_
* std::max<Real>(0.0, std::min(roof_, averagePerformance));
}
/*
Extract the relevant information from the whole path
*/
LongstaffSchwartzMultiPathPricer::PathInfo
LongstaffSchwartzMultiPathPricer::transformPath(const MultiPath& multiPath)
const {
const Size numberOfAssets = multiPath.assetNumber();
const Size numberOfTimes = timePositions_.size();
Matrix path(numberOfAssets, numberOfTimes, Null<Real>());
for (Size i = 0; i < numberOfTimes; ++i) {
const Size pos = timePositions_[i];
for (Size j = 0; j < numberOfAssets; ++j)
path[j][i] = multiPath[j][pos];
}
PathInfo info(numberOfTimes);
payoff_->value(path, forwardTermStructures_, info.payments, info.exercises, info.states);
return info;
}
