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Monte Carlo double barrier engine
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| /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ | ||
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| /* | ||
| Copyright (C) 2020 Lew Wei Hao | ||
| 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. | ||
| */ | ||
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| #include <ql/experimental/barrieroption/mcdoublebarrierengine.hpp> | ||
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| namespace QuantLib { | ||
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| DoubleBarrierPathPricer::DoubleBarrierPathPricer( | ||
| DoubleBarrier::Type barrierType, | ||
| Real barrierLow, | ||
| Real barrierHigh, | ||
| Real rebate, | ||
| Option::Type type, | ||
| Real strike, | ||
| const std::vector<DiscountFactor>& discounts) | ||
| : barrierType_(barrierType), barrierLow_(barrierLow), barrierHigh_(barrierHigh), | ||
| rebate_(rebate), payoff_(type, strike), discounts_(discounts) { | ||
| QL_REQUIRE(strike>=0.0, | ||
| "strike less than zero not allowed"); | ||
| QL_REQUIRE(barrierLow>0.0, | ||
| "low barrier less/equal zero not allowed"); | ||
| QL_REQUIRE(barrierHigh>0.0, | ||
| "high barrier less/equal zero not allowed"); | ||
| } | ||
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| Real DoubleBarrierPathPricer::operator()(const Path& path) const { | ||
| static Size null = Null<Size>(); | ||
| Size n = path.length(); | ||
| QL_REQUIRE(n>1, "the path cannot be empty"); | ||
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| bool isOptionActive = false; | ||
| Size knockNode = null; | ||
| Real terminal_price = path.back(); | ||
| Real new_asset_price; | ||
| Size i; | ||
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| switch (barrierType_) { | ||
| case DoubleBarrier::KnockOut: | ||
| isOptionActive = true; | ||
| for (i = 0; i < n-1; i++) { | ||
| new_asset_price = path[i + 1]; | ||
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| if (new_asset_price >= barrierHigh_ || new_asset_price <= barrierLow_){ | ||
| isOptionActive = false; | ||
| if (knockNode == null) | ||
| knockNode = i+1; | ||
| break; | ||
| } | ||
| } | ||
| break; | ||
| case DoubleBarrier::KnockIn: | ||
| isOptionActive = false; | ||
| for (i = 0; i < n-1; i++) { | ||
| new_asset_price = path[i + 1]; | ||
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| if (new_asset_price >= barrierHigh_ || new_asset_price <= barrierLow_){ | ||
| isOptionActive = true; | ||
| if (knockNode == null) | ||
| knockNode = i+1; | ||
| break; | ||
| } | ||
| } | ||
| break; | ||
| default: | ||
| QL_FAIL("unknown barrier type"); | ||
| } | ||
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| if (isOptionActive) { | ||
| return payoff_(terminal_price) * discounts_.back(); | ||
| } else { | ||
| switch (barrierType_) { | ||
| case DoubleBarrier::KnockOut: | ||
| return rebate_*discounts_[knockNode]; | ||
| case DoubleBarrier::KnockIn: | ||
| return rebate_*discounts_.back(); | ||
| default: | ||
| QL_FAIL("unknown barrier type"); | ||
| } | ||
| } | ||
| } | ||
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| } |
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