Class BiasedBarrierPathPricer

The biased path pricer of a barrier option: the barrier is checked at the path's points only, so crossings between them are missed.

public sealed class BiasedBarrierPathPricer : PathPricer<MonteCarloPath>

Inherited Members: object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. A knock-out pays its rebate at the hit's node, a knock-in at expiry.

Initializes a new instance of the BiasedBarrierPathPricer class.

public BiasedBarrierPathPricer(BarrierType barrierType, double barrier, double rebate, OptionType type, double strike, IEnumerable<double> discounts)

barrierType BarrierType: The barrier's type.
barrier double: The barrier, positive.
rebate double: The rebate.
type OptionType: The option type.
strike double: The strike, non-negative.
discounts IEnumerable<double>: The discount factors at the path's grid times.

ArgumentNullException: discounts is null.
ArgumentOutOfRangeException: barrierType or type isn't a member of its type.
ArgumentException: The strike is negative ("strike less than zero not allowed") or the barrier isn't positive ("barrier less/equal zero not allowed").

The discounted payoff on a path, the barrier checked at its points.

public override double Evaluate(MonteCarloPath path)