mcamericanengine.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file mcamericanengine.cpp
    \brief Monte Carlo engine for vanilla american options
*/
 
#include <ql/errors.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
#include <utility>
 
namespace QuantLib {
 
    AmericanPathPricer::AmericanPathPricer(ext::shared_ptr<Payoff> payoff,
                                           Size polynomialOrder,
                                           LsmBasisSystem::PolynomialType polynomialType)
    : payoff_(std::move(payoff)),
      v_(LsmBasisSystem::pathBasisSystem(polynomialOrder, polynomialType)) {
 
        QL_REQUIRE(   polynomialType == LsmBasisSystem::Monomial
                   || polynomialType == LsmBasisSystem::Laguerre
                   || polynomialType == LsmBasisSystem::Hermite
                   || polynomialType == LsmBasisSystem::Hyperbolic
                   || polynomialType == LsmBasisSystem::Chebyshev2nd,
                   "insufficient polynomial type");
 
        // the payoff gives an additional value
        v_.emplace_back([&](Real state){ return this->payoff(state); });
 
        const ext::shared_ptr<StrikedTypePayoff> strikePayoff
            = ext::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);
 
        if (strikePayoff != nullptr) {
            scalingValue_/=strikePayoff->strike();
        }
    }
 
    Real AmericanPathPricer::payoff(Real state) const {
        return (*payoff_)(state/scalingValue_);
    }
 
    Real AmericanPathPricer::operator()(const Path& path, Size t) const {
        return payoff(state(path, t));
    }
 
    Real AmericanPathPricer::state(const Path& path, Size t) const {
        // scale values of the underlying
        // to increase numerical stability
        return path[t]*scalingValue_;
    }
 
    std::vector<ext::function<Real(Real)> >
    AmericanPathPricer::basisSystem() const {
        return v_;
    }
 
}