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namespace QuantLib { namespace MonteCarlo { /******************************************************************************** EuropeanPathPricer constructor [in]: Option:Type : option type double underlying : underlying asset double strike : strike price DiscountFactor discount : discount factor bool useAntitheticVariance : ag for using ********************************************************************************/ EuropeanPathPricer::EuropeanPathPricer(Option::Type type, double underlying, double strike, DiscountFactor discount, bool useAntitheticVariance) : PathPricer<Path>(discount, useAntitheticVariance), type_(type), underlying_(underlying), strike_(strike) { QL_REQUIRE(underlying>0.0, EuropeanPathPricer: underlying less/equal zero not allowed ); QL_REQUIRE(strike>0.0, EuropeanPathPricer: strike less/equal zero not allowed ); }
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In addition to calculating the returns to the securities held by the portfolio, we are interested in calculating returns for various groupings of securities, or segments of the portfolio. We can segment the securities held by a portfolio in any way that is relevant for the type of portfolio and style of management. Securities could be grouped by security characteristics such as asset class, country, or industrial sector. Index vendors, stock exchanges, and market data services maintain industry sector classi cation schemes. Some managers have proprietary security schemes that they use to analyze portfolio structures in particular ways. Securities can also be grouped into ranges based on some characteristic, for example, by duration and credit quality range for a xed income portfolio or P/E and market capitalization for a stock fund. Ranges can be set using xed values or de ned using rank and order statistics. For example, we could group stocks by P/E deciles, and then calculate the returns to each decile. We could track performance by analyst if analysts were assigned different segments of the portfolio to track. We can also nest segments. For example, we could measure returns by industrial sector within each
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As stated earlier, the thread module provides the basic support for threading while the threading module provides higher-level thread functionality. Let s now examine the working of the threading module.
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dynamics to equation (13.56) are as compatible as possible with density p2 associated with market prices. This can be accomplished by calibrating directly the prices implied by the alternative model in (13.59) to the market prices Cplmarket(0, T1, T2, Xi) given the observed set of strikes Xi. Equivalently, one can t the model implied volatilities to the quoted market implied volatilities market v2 (T1, Xi) for the observed strikes. Following Brigo and Mercurio (2001c), we list the steps necessary to generate a volatility smile to be tted to the market smile using the alternative dynamics in (13.59). Step 1. Set the strike X to a starting value. Step 2. Compute the model caplet price: Cpl(X, T1, T2) = P(0, T2)ET02 [max(F(T1; T1, T2) X, 0)] Step 3. Invert Black s formula for the strike by solving: Cpl (X, T1 , T2 ) = P(0, T2 )Black(X1 , F2 (0), v(X) T1 ) in v(X), thus obtaining the (average) model implied volatility v(X). Step 4. Change X and restart from step 2. By acting on the coef cient v(t, ) in the dynamics given in (13.55), the four steps will eventually lead to model implied volatilities v(Xi ) corresponding to the observed strikes to be made as close as possible to the corresponding market volatilities
int i, j; double dt; double deviate = 0.0; double deviate1 = 0.0; double payoff = 0.0; double sum = 0.0; double S = price; double mu = rate - div - lambda*kappa; long seed; long* idum = 0; StatUtility util; srand(time(0)); seed = (long) rand() % 100; idum = &seed; dt = T/N;
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In the case of non-continuous digital communications, i.e. when the signal is transmitted only during a limited period of time (burst mode transmission), the carrier and clock frequency must be recovered very rapidly, using dedicated bits which are included in the preamble at the beginning of each burst. Of course, since the preamble does not carry actual information data bits, it must be kept as short as possible to keep good transmission efficiency. In this section, two special features of burst modems will be discussed, with special attention to TDMA-QPSK transmission: i) modulator carrier on/off circuit; ii) and iii) demodulator circuits for rapid carrier and clock recovery.
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