Exotics.cpp

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#include "./Exotics.h"

Exotics::Exotics(exoticsType type,yieldCurve* curve,volsurface* surface,Real spot,Real strike,
                Real Expiry,LongNatural nDates,Real strike2,LongNatural nPaths)
                :       _type(type),
                        _yieldCurve(curve),
                        _volSurface(surface),
                        _spot(spot),
                        _strike(strike),
                        _strike2(strike2),
                        _expiry(Expiry),
                        _nPaths(nPaths),
                        _nDates(nDates)
{
}

Exotics::~Exotics(void)
{
}

Real Exotics::getPrice() {
        switch (_type) {
                case AsianCall:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,3);
                case AsianPut:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,4);
                case RevLookbackCall:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,5);
                case RevLookbackPut:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,6);
                case BarrierCall:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,7);
                case BarrierPut:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,8);
                case FlooredCliquet:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,9);
                case CappedCliquet:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,10);
                case CollaredCliquet:
                        return mainmc(_expiry,_strike,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,9)+mainmc(_expiry,_strike2,_spot,_volSurface,_yieldCurve,_nPaths,_nDates,10);
                default:
                        return 0.;
        }
}

Real Exotics::getDelta() {
        Real result=0.;
        result=getPrice();
        _spot*=1.01;
        result-=getPrice();
        _spot/=1.01;
        return result;
}

Real Exotics::getRho() {
        Real result=0.;
        result=getPrice();
        _yieldCurve->shiftZCBRateCurve();
        result-=getPrice();
        _yieldCurve->shiftZCBRateCurve(-defaultshiftfactorForShortRate);
        return result;
}

Real Exotics::getTheta() {
        Real result=0.;
        result=getPrice();
        yieldCurve yield=*_yieldCurve;
        _yieldCurve->forwardZCBCurve(defaultAdvDays/365);
        volsurface volsurf=*_volSurface;
        Date advDate=Date();
        advDate.setDateToToday();
        advDate.plusDays((Integer)defaultAdvDays);
        _volSurface=&_volSurface->forwardvolsurface(advDate);
        result-=getPrice();
        _yieldCurve=&yield;
        _volSurface=&volsurf;
        return result;
}

Real Exotics::getVega() {
        Real result=0.;
        result=getPrice();
        _volSurface->shiftedvolsurface(defaultShiftVolSurface);
        result-=getPrice();
        _volSurface->shiftedvolsurface(-defaultShiftVolSurface);
        return result;
}

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