QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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mcperformanceengine.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
21#include <utility>
22
23namespace QuantLib {
24
26 Real strike,
27 std::vector<DiscountFactor> discounts)
28 : strike_(strike), type_(type), discounts_(std::move(discounts)) {}
29
31
32 Size n = path.length();
33 QL_REQUIRE(n==discounts_.size()+1, "discounts/options mismatch");
35
36 Real sum = 0.0;
37 for (Size i = 2 ; i < n; i++) {
38 sum += discounts_[i-1] * payoff(path[i]/path[i-1]);
39 }
40
41 return sum;
42 }
43
44}
45
single-factor random walk
Definition: path.hpp:40
Size length() const
Definition: path.hpp:94
PerformanceOptionPathPricer(Option::Type type, Real strike, std::vector< DiscountFactor > discounts)
std::vector< DiscountFactor > discounts_
Real operator()(const Path &path) const override
Plain-vanilla payoff.
Definition: payoffs.hpp:105
#define QL_REQUIRE(condition, message)
throw an error if the given pre-condition is not verified
Definition: errors.hpp:117
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
ext::shared_ptr< QuantLib::Payoff > payoff
Definition: any.hpp:35
STL namespace.