Class PerformanceOptionPathPricer

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The performance option's path pricer: each period's return under a plain vanilla payoff, discounted from its end.

public sealed class PerformanceOptionPathPricer : PathPricer<MonteCarloPath>

Inheritance

object

PathPricer<MonteCarloPath>

PerformanceOptionPathPricer

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable. QuantLib reads the periods as the path's consecutive points after its start, refusing a path of another length ("discounts/options mismatch"), so a reset at the grid's start, which the grid merges into it, is refused (Divergences/McPerformanceResetTodayTests.cs); given the resets' indices on the grid, it reads each period between its own points, as the Monte Carlo forward engines read their reset, and on a grid of distinct reset times the same points as QuantLib's.

Constructors

PerformanceOptionPathPricer(OptionType, double, IEnumerable<double>)

Initializes a new instance of the PerformanceOptionPathPricer class, QuantLib's.

public PerformanceOptionPathPricer(OptionType type, double strike, IEnumerable<double> discounts)

Parameters

type OptionType

The option type.

strike double

The strike, a moneyness.

discounts IEnumerable<double>

The discount factors to each reset and to expiry.

Exceptions

ArgumentNullException

discounts is null.

ArgumentOutOfRangeException

type isn't a member of its type.

PerformanceOptionPathPricer(OptionType, double, IEnumerable<double>, IEnumerable<int>)

Initializes a new instance of the PerformanceOptionPathPricer class reading each reset at its index on the path's grid.

public PerformanceOptionPathPricer(OptionType type, double strike, IEnumerable<double> discounts, IEnumerable<int> indices)

Parameters

type OptionType

The option type.

strike double

The strike, a moneyness.

discounts IEnumerable<double>

The discount factors to each reset and to expiry.

indices IEnumerable<int>

The grid's index of each reset and of expiry, one per discount.

Exceptions

ArgumentNullException

A list is null.

ArgumentOutOfRangeException

type isn't a member of its type.

ArgumentException

The lists' lengths differ.

Methods

Evaluate(MonteCarloPath)

The periods' discounted payoffs on a path.

public override double Evaluate(MonteCarloPath path)

Parameters

path MonteCarloPath

The path.

Returns

double

The value.

Exceptions

ArgumentNullException

path is null.

NanoQLException

Without indices, the path's length isn't the discounts' and one more; with them, an index is past the path.