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QL_REQUIRE(underlying_[j]>0.0, BasketPathPricer: underlying less/equal zero not allowed ); QL_REQUIRE(strike>0.0, BasketPathPricer: strike less/equal zero not allowed ); } } /********************************************************************************** operator() : operator for pricing option on a path [in]: MultiPath& multiPath : multiPath instance [out]: double : discounted value of price of basket option **********************************************************************************/ double BasketPathPricer::operator()(const MultiPath& multiPath)const { Size numAssets = multiPath.assetNumber(); Size numSteps = multiPath.pathSize(); QL_REQUIRE(underlying_.size() == numAssets, BasketPathPricer: the multi-path must contain + IntegerFormatter::toString(underlying_.size()) + assets ); std::vector<double> log_drift(numAssets, 0.0); std::vector<double> log_diffusion(numAssets, 0.0); Size i,j; double basketPrice = 0.0; for(j = 0; j < numAssets; j++) { log_drift[j] = log_diffusion[j] = 0.0; for(i = 0; i < numSteps; i++) { log_drift[j] += multiPath[j].drift()[i]; barcode excel 2010 download Get Barcode Software - Microsoft Store
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