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Changeset 219

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Timestamp:
06/28/08 09:48:23 (3 months ago)
Author:
snovik
Message:

Change: QL 15124-15125

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  • trunk/QLNet/Examples/EquityOption/EquityOption.cs

    r198 r219  
    250250            Console.WriteLine("{0,-" + widths[3] + ":0.000000}", "N/A"); 
    251251 
    252             //// Monte Carlo Method: MC (Longstaff Schwartz) 
    253             //method = "MC (Longstaff Schwartz)"; 
     252            // Monte Carlo Method: MC (Longstaff Schwartz) 
     253            method = "MC (Longstaff Schwartz)"; 
    254254            //IPricingEngine mcengine3 = new MakeMCAmericanEngine<PseudoRandom>(bsmProcess) 
    255255            //                            .withSteps(100) 

  • trunk/QLNet/QLNet/QLNet.csproj

    r204 r219  
    230230    <Compile Include="Methods\montecarlo\earlyexercisepathpricer.cs" /> 
    231231    <Compile Include="Methods\montecarlo\longstaffschwartzpathpricer.cs" /> 
     232    <Compile Include="Methods\montecarlo\lsmbasissystem.cs" /> 
    232233    <Compile Include="Methods\montecarlo\mctraits.cs" /> 
    233234    <Compile Include="Methods\montecarlo\montecarlomodel.cs" /> 

  • trunk/QLNet/QLNet/Termstructures/Volatility/Sabr.cs

    r119 r219  
    5252            const double m = 10; 
    5353 
    54             // recheck epsilon 
    55             throw new ApplicationException(); 
    5654            if (Math.Abs(z * z) > Const.QL_Epsilon * m) 
    5755                multiplier = z/xx; 
    …… 
    8179                throw new ApplicationException("strike must be positive: " + strike + " not allowed"); 
    8280            if (!(forward>0.0)) 
    83                 throw new ApplicationException("forward must be positive: " + forward + " not allowed"); 
     81                throw new ApplicationException("at the money forward rate must be: " + forward + " not allowed"); 
    8482            if (!(expiryTime>=0.0)) 
    8583                throw new ApplicationException("expiry time must be non-negative: " + expiryTime + " not allowed"); 

  • trunk/QLNet/QLNet/Termstructures/Volatility/SmileSection.cs

    r61 r219  
    135135 
    136136            if (!(forward_>0.0)) 
    137                 throw new ApplicationException("forward must be positive: " + forward_ + " not allowed"); 
     137                throw new ApplicationException("at the money forward rate must be: " + forward_ + " not allowed"); 
    138138            Utils.validateSabrParameters(alpha_, beta_, nu_, rho_); 
    139139        } 
    …… 
    150150 
    151151            if (!(forward_>0.0)) 
    152                 throw new ApplicationException("forward must be positive: " + forward_ + " not allowed"); 
     152                throw new ApplicationException("at the money forward rate must be: " + forward_ + " not allowed"); 
    153153            Utils.validateSabrParameters(alpha_, beta_, nu_, rho_); 
    154154        }