Class PathPayoff

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A payoff on the assets' whole paths at the fixing dates: its payments and early-termination values, and the state on which a Longstaff-Schwartz regression decides an exercise.

[Experimental("NQL0001")]
public abstract class PathPayoff

Inheritance

object

PathPayoff

Derived

AdaptedPathPayoff

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as in QuantLib: a product derives it (or AdaptedPathPayoff). QuantLib's visitor isn't ported (the playbook's visitor row).

Constructors

PathPayoff()

protected PathPayoff()

Properties

BasisSystemDimension

Gets the dimension of the basis functions: the size of every state Value(Matrix, ImmutableArray<YieldTermStructure>, Vector, Vector, Vector[]) writes.

public abstract int BasisSystemDimension { get; }

Property Value

int

Description

Gets the payoff's description.

public abstract string Description { get; }

Property Value

string

Name

Gets the payoff's name, for output and comparison, not for switching on its type.

public abstract string Name { get; }

Property Value

string

Methods

Value(Matrix, ImmutableArray<YieldTermStructure>, Vector, Vector, Vector[])

The payoff and early-termination payments of one path. If the option is cancelled at time i, every payment on and before i counts, plus the exercise value at i: cancellation at i doesn't cancel the payment at i.

public abstract void Value(Matrix path, ImmutableArray<YieldTermStructure> forwardTermStructures, Vector payments, Vector exercises, Vector[] states)

Parameters

path Matrix

The assets' values at the fixing times, one row per asset.

forwardTermStructures ImmutableArray<YieldTermStructure>

The yield curve at each fixing date.

payments Vector

The payments at each fixing time, written.

exercises Vector

The exercise values at each fixing time, written; empty where no exercise is possible.

states Vector[]

The regression state at each fixing time; empty where no exercise is possible, and an empty state signals that no exercise is possible at its time.