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Changeset 215

Timestamp:

06/23/08 05:48:37 (5 months ago)

Author:

snovik

Message:

Change: QL 15108

Files:

r194	r215
92	92	double price = pathPricer_.value(path.value);
93	93
94		if (isControlVariate_)
	94	if (isControlVariate_) {
95	95	if (cvPathGenerator_ == null) {
96		price += cvOptionValue_-cvPathPricer_.value(path.value);
	96	price += cvOptionValue_ - cvPathPricer_.value(path.value);
	97	} else {
	98	Sample<Path> cvPath = cvPathGenerator_.next();
	99	price += cvOptionValue_ - cvPathPricer_.value(cvPath.value);
97	100	}
98		else {
99		Sample<Path> cvPath = cvPathGenerator_.next();
100		price += cvOptionValue_-cvPathPricer_.value(cvPath.value);
101		}
	101	}
102	102
103	103	if (isAntitheticVariate_) {
104	104	path = pathGenerator_.antithetic();
105	105	double price2 = pathPricer_.value(path.value);
106		if (isControlVariate_)
	106	if (isControlVariate_) {
107	107	if (cvPathGenerator_ == null)
108		price2 += cvOptionValue_-cvPathPricer_.value(path.value);
	108	price2 += cvOptionValue_ - cvPathPricer_.value(path.value);
109	109	else {
110	110	Sample<Path> cvPath = cvPathGenerator_.antithetic();
111		price2 += cvOptionValue_-cvPathPricer_.value(cvPath.value);
	111	price2 += cvOptionValue_ - cvPathPricer_.value(cvPath.value);
112	112	}
	113	}
113	114
114	115	sampleAccumulator_.add((price+price2)/2.0, path.weight);