mcpathbasketengine.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Andrea Odetti
 
 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.
*/
 
#include <ql/experimental/mcbasket/mcpathbasketengine.hpp>
#include <utility>
 
namespace QuantLib {
 
    EuropeanPathMultiPathPricer::EuropeanPathMultiPathPricer(
        ext::shared_ptr<PathPayoff>& payoff,
        std::vector<Size> timePositions,
        std::vector<Handle<YieldTermStructure> > forwardTermStructures,
        Array discounts)
    : payoff_(payoff), timePositions_(std::move(timePositions)),
      forwardTermStructures_(std::move(forwardTermStructures)), discounts_(std::move(discounts)) {}
 
    Real EuropeanPathMultiPathPricer::operator()(const MultiPath& multiPath)
                                                                       const {
 
        Size n = multiPath.pathSize();
        QL_REQUIRE(n > 0, "the path cannot be empty");
 
        Size numberOfAssets = multiPath.assetNumber();
        QL_REQUIRE(numberOfAssets > 0, "there must be some paths");
 
        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];
        }
 
        Array values(numberOfTimes, 0.0);
 
        // ignored
        Array exercises;
        std::vector<Array> states;
 
        payoff_->value(path, forwardTermStructures_, values, exercises, states);
 
        // in this engine we ignore early exercise
 
        Real discountedPayoff = DotProduct(values, discounts_);
 
        return discountedPayoff;
    }
 
}