Class EuropeanMultiPathPricer

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The European basket option's path pricer: the basket payoff at the paths' final prices, discounted.

[WorkingType]
public sealed class EuropeanMultiPathPricer : PathPricer<MultiPath>

Inheritance

object

PathPricer<MultiPath>

EuropeanMultiPathPricer

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A working type: it holds the buffer it passes the final prices through, which QuantLib builds per path, so a path prices without allocating after the first.

Constructors

EuropeanMultiPathPricer(BasketPayoff, double)

Initializes a new instance of the EuropeanMultiPathPricer class.

public EuropeanMultiPathPricer(BasketPayoff payoff, double discount)

Parameters

payoff BasketPayoff

The basket payoff.

discount double

The discount factor to the exercise date.

Exceptions

ArgumentNullException

payoff is null.

Methods

Evaluate(MultiPath)

The discounted payoff at the paths' final prices.

public override double Evaluate(MultiPath multiPath)

Parameters

multiPath MultiPath

The assets' paths.

Returns

double

The path's value.

Exceptions

ArgumentNullException

multiPath is null.

NanoQLException

The paths are empty, or there is no asset.

ArgumentException

The payoff refuses the prices.