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<h1>EquityOption.cpp</h1>This example evaluates European, American and Bermudan options using different methods<p>
<div class="fragment"><pre class="fragment"><a name="l00001"></a>00001 <span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<a name="l00002"></a>00002
<a name="l00020"></a>00020 <span class="comment">// the only header you need to use QuantLib</span>
<a name="l00021"></a>00021 <span class="preprocessor">#define BOOST_LIB_DIAGNOSTIC</span>
<a name="l00022"></a>00022 <span class="preprocessor"></span><span class="preprocessor"># include <ql/quantlib.hpp></span>
<a name="l00023"></a>00023 <span class="preprocessor">#undef BOOST_LIB_DIAGNOSTIC</span>
<a name="l00024"></a>00024 <span class="preprocessor"></span>
<a name="l00025"></a>00025 <span class="preprocessor">#ifdef BOOST_MSVC</span>
<a name="l00026"></a>00026 <span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<a name="l00027"></a>00027 <span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<a name="l00028"></a>00028 <span class="comment"></span>
<a name="l00029"></a>00029 <span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<a name="l00030"></a>00030 <span class="comment"> Is there anyone with a definitive word about this?</span>
<a name="l00031"></a>00031 <span class="comment">*/</span>
<a name="l00032"></a>00032 <span class="comment">// #include <float.h></span>
<a name="l00033"></a>00033 <span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<a name="l00034"></a>00034 <span class="preprocessor">#endif</span>
<a name="l00035"></a>00035 <span class="preprocessor"></span>
<a name="l00036"></a>00036 <span class="preprocessor">#include <boost/timer.hpp></span>
<a name="l00037"></a>00037 <span class="preprocessor">#include <iostream></span>
<a name="l00038"></a>00038 <span class="preprocessor">#include <iomanip></span>
<a name="l00039"></a>00039
<a name="l00040"></a>00040 <span class="keyword">using namespace </span>QuantLib;
<a name="l00041"></a>00041
<a name="l00042"></a>00042 <span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<a name="l00043"></a>00043 <span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="l00044"></a>00044
<a name="l00045"></a>00045 <a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
<a name="l00046"></a>00046
<a name="l00047"></a>00047 }
<a name="l00048"></a>00048 <span class="preprocessor">#endif</span>
<a name="l00049"></a>00049 <span class="preprocessor"></span>
<a name="l00050"></a>00050
<a name="l00051"></a>00051 <span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* [])
<a name="l00052"></a>00052 {
<a name="l00053"></a>00053 <span class="keywordflow">try</span> {
<a name="l00054"></a>00054 <a name="a1"></a><a class="code" href="group__misc_macros.html#g11d8e34f54505b0bf6f550508278673d">QL_IO_INIT</a>
<a name="l00055"></a>00055
<a name="l00056"></a>00056 boost::timer timer;
<a name="l00057"></a>00057 std::cout << std::endl;
<a name="l00058"></a>00058
<a name="l00059"></a>00059 <span class="comment">// our options</span>
<a name="l00060"></a>00060 Option::Type type(Option::Put);
<a name="l00061"></a>00061 <a name="a2"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> underlying = 36;
<a name="l00062"></a>00062 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> strike = 40;
<a name="l00063"></a>00063 <a name="a3"></a><a class="code" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> dividendYield = 0.00;
<a name="l00064"></a>00064 <a name="a4"></a><a class="code" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> riskFreeRate = 0.06;
<a name="l00065"></a>00065 <a name="a5"></a><a class="code" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> <a name="a6"></a><a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">volatility</a> = 0.20;
<a name="l00066"></a>00066
<a name="l00067"></a>00067 <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_date.html">Date</a> todaysDate(15, May, 1998);
<a name="l00068"></a>00068 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> settlementDate(17, May, 1998);
<a name="l00069"></a>00069 Settings::instance().evaluationDate() = todaysDate;
<a name="l00070"></a>00070
<a name="l00071"></a>00071 <a class="code" href="class_quant_lib_1_1_date.html">Date</a> maturity(17, May, 1999);
<a name="l00072"></a>00072 <a name="_a8"></a><a class="code" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> dayCounter = <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a>();
<a name="l00073"></a>00073
<a name="l00074"></a>00074 std::cout << <span class="stringliteral">"Option type = "</span> << type << std::endl;
<a name="l00075"></a>00075 std::cout << <span class="stringliteral">"Maturity = "</span> << maturity << std::endl;
<a name="l00076"></a>00076 std::cout << <span class="stringliteral">"Underlying price = "</span> << underlying << std::endl;
<a name="l00077"></a>00077 std::cout << <span class="stringliteral">"Strike = "</span> << strike << std::endl;
<a name="l00078"></a>00078 std::cout << <span class="stringliteral">"Risk-free interest rate = "</span> << <a name="a10"></a><a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(riskFreeRate)
<a name="l00079"></a>00079 << std::endl;
<a name="l00080"></a>00080 std::cout << <span class="stringliteral">"Dividend yield = "</span> << <a class="code" href="group__manips.html#gc63ea3dad10259db3764c7d15a61cde5">io::rate</a>(dividendYield)
<a name="l00081"></a>00081 << std::endl;
<a name="l00082"></a>00082 std::cout << <span class="stringliteral">"Volatility = "</span> << <a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c">io::volatility</a>(volatility)
<a name="l00083"></a>00083 << std::endl;
<a name="l00084"></a>00084 std::cout << std::endl;
<a name="l00085"></a>00085
<a name="l00086"></a>00086 std::string method;
<a name="l00087"></a>00087
<a name="l00088"></a>00088 std::cout << std::endl ;
<a name="l00089"></a>00089
<a name="l00090"></a>00090 <span class="comment">// write column headings</span>
<a name="l00091"></a>00091 <a name="a11"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> widths[] = { 35, 14, 14, 14 };
<a name="l00092"></a>00092 std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Method"</span>
<a name="l00093"></a>00093 << std::setw(widths[1]) << std::left << <span class="stringliteral">"European"</span>
<a name="l00094"></a>00094 << std::setw(widths[2]) << std::left << <span class="stringliteral">"Bermudan"</span>
<a name="l00095"></a>00095 << std::setw(widths[3]) << std::left << <span class="stringliteral">"American"</span>
<a name="l00096"></a>00096 << std::endl;
<a name="l00097"></a>00097
<a name="l00098"></a>00098 std::vector<Date> exerciseDates;
<a name="l00099"></a>00099 <span class="keywordflow">for</span> (<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> i=1; i<=4; i++)
<a name="l00100"></a>00100 exerciseDates.push_back(settlementDate + 3*i*Months);
<a name="l00101"></a>00101
<a name="l00102"></a>00102 boost::shared_ptr<Exercise> europeanExercise(
<a name="l00103"></a>00103 <span class="keyword">new</span> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_european_exercise.html">EuropeanExercise</a>(maturity));
<a name="l00104"></a>00104
<a name="l00105"></a>00105 boost::shared_ptr<Exercise> bermudanExercise(
<a name="l00106"></a>00106 <span class="keyword">new</span> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_bermudan_exercise.html">BermudanExercise</a>(exerciseDates));
<a name="l00107"></a>00107
<a name="l00108"></a>00108 boost::shared_ptr<Exercise> americanExercise(
<a name="l00109"></a>00109 <span class="keyword">new</span> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_american_exercise.html">AmericanExercise</a>(settlementDate,
<a name="l00110"></a>00110 maturity));
<a name="l00111"></a>00111
<a name="l00112"></a>00112 <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> underlyingH(
<a name="l00113"></a>00113 boost::shared_ptr<Quote>(<span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html">SimpleQuote</a>(underlying)));
<a name="l00114"></a>00114
<a name="l00115"></a>00115 <span class="comment">// bootstrap the yield/dividend/vol curves</span>
<a name="l00116"></a>00116 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatTermStructure(
<a name="l00117"></a>00117 boost::shared_ptr<YieldTermStructure>(
<a name="l00118"></a>00118 <span class="keyword">new</span> <a name="_a17"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(settlementDate, riskFreeRate, dayCounter)));
<a name="l00119"></a>00119 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatDividendTS(
<a name="l00120"></a>00120 boost::shared_ptr<YieldTermStructure>(
<a name="l00121"></a>00121 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html">FlatForward</a>(settlementDate, dividendYield, dayCounter)));
<a name="l00122"></a>00122 <a class="code" href="class_quant_lib_1_1_handle.html">Handle<BlackVolTermStructure></a> flatVolTS(
<a name="l00123"></a>00123 boost::shared_ptr<BlackVolTermStructure>(
<a name="l00124"></a>00124 <span class="keyword">new</span> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_black_constant_vol.html">BlackConstantVol</a>(settlementDate, volatility, dayCounter)));
<a name="l00125"></a>00125
<a name="l00126"></a>00126 boost::shared_ptr<StrikedTypePayoff> payoff(
<a name="l00127"></a>00127 <span class="keyword">new</span> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_plain_vanilla_payoff.html">PlainVanillaPayoff</a>(type, strike));
<a name="l00128"></a>00128
<a name="l00129"></a>00129 boost::shared_ptr<StochasticProcess> stochasticProcess(
<a name="l00130"></a>00130 <span class="keyword">new</span> <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_black_scholes_merton_process.html">BlackScholesMertonProcess</a>(underlyingH, flatDividendTS,
<a name="l00131"></a>00131 flatTermStructure, flatVolTS));
<a name="l00132"></a>00132
<a name="l00133"></a>00133 <span class="comment">// options</span>
<a name="l00134"></a>00134
<a name="l00135"></a>00135 <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_vanilla_option.html">VanillaOption</a> europeanOption(stochasticProcess, payoff,
<a name="l00136"></a>00136 europeanExercise);
<a name="l00137"></a>00137
<a name="l00138"></a>00138 <a class="code" href="class_quant_lib_1_1_vanilla_option.html">VanillaOption</a> bermudanOption(stochasticProcess, payoff,
<a name="l00139"></a>00139 bermudanExercise);
<a name="l00140"></a>00140
<a name="l00141"></a>00141 <a class="code" href="class_quant_lib_1_1_vanilla_option.html">VanillaOption</a> americanOption(stochasticProcess, payoff,
<a name="l00142"></a>00142 americanExercise);
<a name="l00143"></a>00143
<a name="l00144"></a>00144 <span class="comment">// Analytic formulas:</span>
<a name="l00145"></a>00145
<a name="l00146"></a>00146 <span class="comment">// Black-Scholes for European</span>
<a name="l00147"></a>00147 method = <span class="stringliteral">"Black-Scholes"</span>;
<a name="l00148"></a>00148 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00149"></a>00149 <span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_analytic_european_engine.html">AnalyticEuropeanEngine</a>));
<a name="l00150"></a>00150 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00151"></a>00151 << std::fixed
<a name="l00152"></a>00152 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00153"></a>00153 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00154"></a>00154 << std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00155"></a>00155 << std::endl;
<a name="l00156"></a>00156
<a name="l00157"></a>00157 <span class="comment">// Barone-Adesi and Whaley approximation for American</span>
<a name="l00158"></a>00158 method = <span class="stringliteral">"Barone-Adesi/Whaley"</span>;
<a name="l00159"></a>00159 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00160"></a>00160 <span class="keyword">new</span> <a name="_a23"></a><a class="code" href="class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html">BaroneAdesiWhaleyApproximationEngine</a>));
<a name="l00161"></a>00161 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00162"></a>00162 << std::fixed
<a name="l00163"></a>00163 << std::setw(widths[1]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00164"></a>00164 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00165"></a>00165 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00166"></a>00166 << std::endl;
<a name="l00167"></a>00167
<a name="l00168"></a>00168 <span class="comment">// Bjerksund and Stensland approximation for American</span>
<a name="l00169"></a>00169 method = <span class="stringliteral">"Bjerksund/Stensland"</span>;
<a name="l00170"></a>00170 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00171"></a>00171 <span class="keyword">new</span> <a name="_a24"></a><a class="code" href="class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html">BjerksundStenslandApproximationEngine</a>));
<a name="l00172"></a>00172 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00173"></a>00173 << std::fixed
<a name="l00174"></a>00174 << std::setw(widths[1]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00175"></a>00175 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00176"></a>00176 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00177"></a>00177 << std::endl;
<a name="l00178"></a>00178
<a name="l00179"></a>00179 <span class="comment">// Integral</span>
<a name="l00180"></a>00180
<a name="l00181"></a>00181 method = <span class="stringliteral">"Integral"</span>;
<a name="l00182"></a>00182 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00183"></a>00183 <span class="keyword">new</span> <a name="_a25"></a><a class="code" href="class_quant_lib_1_1_integral_engine.html">IntegralEngine</a>));
<a name="l00184"></a>00184 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00185"></a>00185 << std::fixed
<a name="l00186"></a>00186 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00187"></a>00187 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00188"></a>00188 << std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00189"></a>00189 << std::endl;
<a name="l00190"></a>00190
<a name="l00191"></a>00191 <span class="comment">// Finite differences</span>
<a name="l00192"></a>00192
<a name="l00193"></a>00193 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps = 801;
<a name="l00194"></a>00194
<a name="l00195"></a>00195 method = <span class="stringliteral">"Finite differences"</span>;
<a name="l00196"></a>00196 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00197"></a>00197 <span class="keyword">new</span> <a name="_a26"></a><a class="code" href="class_quant_lib_1_1_f_d_european_engine.html">FDEuropeanEngine</a>(timeSteps,timeSteps-1)));
<a name="l00198"></a>00198 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00199"></a>00199 <span class="keyword">new</span> <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_f_d_bermudan_engine.html">FDBermudanEngine</a>(timeSteps,timeSteps-1)));
<a name="l00200"></a>00200 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00201"></a>00201 <span class="keyword">new</span> <a name="a28"></a><a class="code" href="group__vanillaengines.html#gc71ea868d4aa32c62db60ebf89c850b4">FDAmericanEngine</a>(timeSteps,timeSteps-1)));
<a name="l00202"></a>00202 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00203"></a>00203 << std::fixed
<a name="l00204"></a>00204 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00205"></a>00205 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00206"></a>00206 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00207"></a>00207 << std::endl;
<a name="l00208"></a>00208
<a name="l00209"></a>00209 <span class="comment">// Binomial method</span>
<a name="l00210"></a>00210
<a name="l00211"></a>00211 method = <span class="stringliteral">"Binomial Jarrow-Rudd"</span>;
<a name="l00212"></a>00212 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00213"></a>00213 <span class="keyword">new</span> <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<JarrowRudd></a>(timeSteps)));
<a name="l00214"></a>00214 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00215"></a>00215 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<JarrowRudd></a>(timeSteps)));
<a name="l00216"></a>00216 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00217"></a>00217 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<JarrowRudd></a>(timeSteps)));
<a name="l00218"></a>00218 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00219"></a>00219 << std::fixed
<a name="l00220"></a>00220 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00221"></a>00221 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00222"></a>00222 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00223"></a>00223 << std::endl;
<a name="l00224"></a>00224
<a name="l00225"></a>00225 method = <span class="stringliteral">"Binomial Cox-Ross-Rubinstein"</span>;
<a name="l00226"></a>00226 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00227"></a>00227 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<CoxRossRubinstein></a>(timeSteps)));
<a name="l00228"></a>00228 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00229"></a>00229 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<CoxRossRubinstein></a>(timeSteps)));
<a name="l00230"></a>00230 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00231"></a>00231 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<CoxRossRubinstein></a>(timeSteps)));
<a name="l00232"></a>00232 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00233"></a>00233 << std::fixed
<a name="l00234"></a>00234 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00235"></a>00235 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00236"></a>00236 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00237"></a>00237 << std::endl;
<a name="l00238"></a>00238
<a name="l00239"></a>00239 method = <span class="stringliteral">"Additive equiprobabilities"</span>;
<a name="l00240"></a>00240 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00241"></a>00241 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<AdditiveEQPBinomialTree></a>(timeSteps)));
<a name="l00242"></a>00242 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00243"></a>00243 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<AdditiveEQPBinomialTree></a>(timeSteps)));
<a name="l00244"></a>00244 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00245"></a>00245 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<AdditiveEQPBinomialTree></a>(timeSteps)));
<a name="l00246"></a>00246 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00247"></a>00247 << std::fixed
<a name="l00248"></a>00248 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00249"></a>00249 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00250"></a>00250 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00251"></a>00251 << std::endl;
<a name="l00252"></a>00252
<a name="l00253"></a>00253 method = <span class="stringliteral">"Binomial Trigeorgis"</span>;
<a name="l00254"></a>00254 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00255"></a>00255 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<Trigeorgis></a>(timeSteps)));
<a name="l00256"></a>00256 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00257"></a>00257 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<Trigeorgis></a>(timeSteps)));
<a name="l00258"></a>00258 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00259"></a>00259 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<Trigeorgis></a>(timeSteps)));
<a name="l00260"></a>00260 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00261"></a>00261 << std::fixed
<a name="l00262"></a>00262 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00263"></a>00263 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00264"></a>00264 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00265"></a>00265 << std::endl;
<a name="l00266"></a>00266
<a name="l00267"></a>00267 method = <span class="stringliteral">"Binomial Tian"</span>;
<a name="l00268"></a>00268 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00269"></a>00269 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<Tian></a>(timeSteps)));
<a name="l00270"></a>00270 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00271"></a>00271 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<Tian></a>(timeSteps)));
<a name="l00272"></a>00272 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00273"></a>00273 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<Tian></a>(timeSteps)));
<a name="l00274"></a>00274 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00275"></a>00275 << std::fixed
<a name="l00276"></a>00276 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00277"></a>00277 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00278"></a>00278 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00279"></a>00279 << std::endl;
<a name="l00280"></a>00280
<a name="l00281"></a>00281 method = <span class="stringliteral">"Binomial Leisen-Reimer"</span>;
<a name="l00282"></a>00282 europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00283"></a>00283 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<LeisenReimer></a>(timeSteps)));
<a name="l00284"></a>00284 bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00285"></a>00285 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<LeisenReimer></a>(timeSteps)));
<a name="l00286"></a>00286 americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<a name="l00287"></a>00287 <span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html">BinomialVanillaEngine<LeisenReimer></a>(timeSteps)));
<a name="l00288"></a>00288 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00289"></a>00289 << std::fixed
<a name="l00290"></a>00290 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00291"></a>00291 << std::setw(widths[2]) << std::left << bermudanOption.NPV()
<a name="l00292"></a>00292 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00293"></a>00293 << std::endl;
<a name="l00294"></a>00294
<a name="l00295"></a>00295 <span class="comment">// Monte Carlo Method</span>
<a name="l00296"></a>00296
<a name="l00297"></a>00297 timeSteps = 1;
<a name="l00298"></a>00298
<a name="l00299"></a>00299 method = <span class="stringliteral">"MC (crude)"</span>;
<a name="l00300"></a>00300 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> mcSeed = 42;
<a name="l00301"></a>00301
<a name="l00302"></a>00302 boost::shared_ptr<PricingEngine> mcengine1;
<a name="l00303"></a>00303 mcengine1 =
<a name="l00304"></a>00304 <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_make_m_c_european_engine.html">MakeMCEuropeanEngine<PseudoRandom></a>().withSteps(timeSteps)
<a name="l00305"></a>00305 .withTolerance(0.02)
<a name="l00306"></a>00306 .withSeed(mcSeed);
<a name="l00307"></a>00307 europeanOption.setPricingEngine(mcengine1);
<a name="l00308"></a>00308 <span class="comment">// Real errorEstimate = europeanOption.errorEstimate();</span>
<a name="l00309"></a>00309 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00310"></a>00310 << std::fixed
<a name="l00311"></a>00311 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00312"></a>00312 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00313"></a>00313 << std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00314"></a>00314 << std::endl;
<a name="l00315"></a>00315
<a name="l00316"></a>00316 method = <span class="stringliteral">"MC (Sobol)"</span>;
<a name="l00317"></a>00317 <a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> nSamples = 32768; <span class="comment">// 2^15</span>
<a name="l00318"></a>00318
<a name="l00319"></a>00319 boost::shared_ptr<PricingEngine> mcengine2;
<a name="l00320"></a>00320 mcengine2 =
<a name="l00321"></a>00321 <a class="code" href="class_quant_lib_1_1_make_m_c_european_engine.html">MakeMCEuropeanEngine<LowDiscrepancy></a>().withSteps(timeSteps)
<a name="l00322"></a>00322 .withSamples(nSamples);
<a name="l00323"></a>00323 europeanOption.setPricingEngine(mcengine2);
<a name="l00324"></a>00324 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00325"></a>00325 << std::fixed
<a name="l00326"></a>00326 << std::setw(widths[1]) << std::left << europeanOption.NPV()
<a name="l00327"></a>00327 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00328"></a>00328 << std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00329"></a>00329 << std::endl;
<a name="l00330"></a>00330
<a name="l00331"></a>00331 <span class="preprocessor"> #if !defined(QL_PATCH_MSVC6) && !defined(QL_PATCH_BORLAND)</span>
<a name="l00332"></a>00332 <span class="preprocessor"></span> method = <span class="stringliteral">"MC (Longstaff Schwartz)"</span>;
<a name="l00333"></a>00333 boost::shared_ptr<PricingEngine> mcengine3;
<a name="l00334"></a>00334 mcengine3 =
<a name="l00335"></a>00335 <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_make_m_c_american_engine.html">MakeMCAmericanEngine<PseudoRandom></a>().withSteps(100)
<a name="l00336"></a>00336 .withAntitheticVariate()
<a name="l00337"></a>00337 .withCalibrationSamples(4096)
<a name="l00338"></a>00338 .withTolerance(0.02)
<a name="l00339"></a>00339 .withSeed(mcSeed);
<a name="l00340"></a>00340 americanOption.setPricingEngine(mcengine3);
<a name="l00341"></a>00341 std::cout << std::setw(widths[0]) << std::left << method
<a name="l00342"></a>00342 << std::fixed
<a name="l00343"></a>00343 << std::setw(widths[1]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00344"></a>00344 << std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<a name="l00345"></a>00345 << std::setw(widths[3]) << std::left << americanOption.NPV()
<a name="l00346"></a>00346 << std::endl;
<a name="l00347"></a>00347 <span class="preprocessor"> #endif</span>
<a name="l00348"></a>00348 <span class="preprocessor"></span>
<a name="l00349"></a>00349 <a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> seconds = timer.elapsed();
<a name="l00350"></a>00350 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> hours = int(seconds/3600);
<a name="l00351"></a>00351 seconds -= hours * 3600;
<a name="l00352"></a>00352 <a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> minutes = int(seconds/60);
<a name="l00353"></a>00353 seconds -= minutes * 60;
<a name="l00354"></a>00354 std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<a name="l00355"></a>00355 <span class="keywordflow">if</span> (hours > 0)
<a name="l00356"></a>00356 std::cout << hours << <span class="stringliteral">" h "</span>;
<a name="l00357"></a>00357 <span class="keywordflow">if</span> (hours > 0 || minutes > 0)
<a name="l00358"></a>00358 std::cout << minutes << <span class="stringliteral">" m "</span>;
<a name="l00359"></a>00359 std::cout << std::fixed << std::setprecision(0)
<a name="l00360"></a>00360 << seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<a name="l00361"></a>00361
<a name="l00362"></a>00362 <span class="keywordflow">return</span> 0;
<a name="l00363"></a>00363 } <span class="keywordflow">catch</span> (std::exception& e) {
<a name="l00364"></a>00364 std::cout << e.what() << std::endl;
<a name="l00365"></a>00365 <span class="keywordflow">return</span> 1;
<a name="l00366"></a>00366 } <span class="keywordflow">catch</span> (...) {
<a name="l00367"></a>00367 std::cout << <span class="stringliteral">"unknown error"</span> << std::endl;
<a name="l00368"></a>00368 <span class="keywordflow">return</span> 1;
<a name="l00369"></a>00369 }
<a name="l00370"></a>00370 }
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