ExoticEngine.cpp

#include "StdAfx.h"
#include "ExoticEngine.h"
#include <cmath>


ExoticEngine::ExoticEngine(const Wrapper<PathDependent>& TheProduct_, const Parameters& r_)
	: TheProduct(TheProduct_),
	r(r_),
	Discounts(TheProduct_->PossibleCashFlowTimes())
{
	for (unsigned long i=0; i< Discounts.size(); i++)
		Discounts[i] = exp(-r.Integral(0.0, Discounts[i]));

	TheseCashFlows.resize(TheProduct->MaxNumberOfCashFlows());
}

void ExoticEngine::DoSimulation(StatisticsMC& TheGatherer, unsigned long NumberOfPaths)
{
	MJArray SpotValues(TheProduct->GetLookAtTimes().size());

	TheseCashFlows.resize(TheProduct->MaxNumberOfCashFlows());
	double thisValue;

	for (unsigned long i=0; i< NumberOfPaths; i++)
	{
		GetOnePath(SpotValues);
		thisValue = DoOnePath(SpotValues);
		TheGatherer.DumpOneResult(thisValue);
	}
	return;
}

double ExoticEngine::DoOnePath(const MJArray& SpotValues) const
{
	unsigned long NumberFlows = TheProduct->CashFlows(SpotValues, TheseCashFlows);
	double Value=0.0;

	for(unsigned i=0; i< NumberFlows; ++i)
	{
		Value += TheseCashFlows[i].Amount * Discounts[TheseCashFlows[i].TimeIndex];	
	}

	return Value;
}