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<h1>Replication.cpp</h1>This example uses the CompositeInstrument class to perform static replication of a down-and-out barrier option.<p>
<div class="fragment"><pre class="fragment"><span class="comment">/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */</span>
<span class="comment">/* This example showcases the CompositeInstrument class. Such class</span>
<span class="comment"> is used to build a static replication of a down-and-out barrier</span>
<span class="comment"> option, as outlined in Section 10.2 of Mark Joshi's "The Concepts</span>
<span class="comment"> and Practice of Mathematical Finance" to which we refer the</span>
<span class="comment"> reader.</span>
<span class="comment">*/</span>
<span class="comment">// the only header you need to use QuantLib</span>
<span class="preprocessor">#include <ql/quantlib.hpp></span>
<span class="preprocessor">#ifdef BOOST_MSVC</span>
<span class="preprocessor"></span><span class="comment">/* Uncomment the following lines to unmask floating-point</span>
<span class="comment"> exceptions. Warning: unpredictable results can arise...</span>
<span class="comment"></span>
<span class="comment"> See http://www.wilmott.com/messageview.cfm?catid=10&threadid=9481</span>
<span class="comment"> Is there anyone with a definitive word about this?</span>
<span class="comment">*/</span>
<span class="comment">// #include <float.h></span>
<span class="comment">// namespace { unsigned int u = _controlfp(_EM_INEXACT, _MCW_EM); }</span>
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="preprocessor">#include <boost/timer.hpp></span>
<span class="preprocessor">#include <iostream></span>
<span class="preprocessor">#include <iomanip></span>
<span class="keyword">using namespace </span>QuantLib;
<span class="preprocessor">#if defined(QL_ENABLE_SESSIONS)</span>
<span class="preprocessor"></span><span class="keyword">namespace </span>QuantLib {
<a name="a0"></a><a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> sessionId() { <span class="keywordflow">return</span> 0; }
}
<span class="preprocessor">#endif</span>
<span class="preprocessor"></span>
<span class="keywordtype">int</span> main(<span class="keywordtype">int</span>, <span class="keywordtype">char</span>* []) {
<span class="keywordflow">try</span> {
boost::timer timer;
std::cout << std::endl;
<a name="_a1"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> today(29, May, 2006);
Settings::instance().evaluationDate() = today;
<span class="comment">// the option to replicate</span>
Barrier::Type barrierType = Barrier::DownOut;
<a name="a2"></a><a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> barrier = 70.0;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> rebate = 0.0;
Option::Type type = Option::Put;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> underlyingValue = 100.0;
boost::shared_ptr<SimpleQuote> underlying(
<span class="keyword">new</span> <a name="_a3"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(underlyingValue));
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> strike = 100.0;
boost::shared_ptr<SimpleQuote> riskFreeRate(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.04));
boost::shared_ptr<SimpleQuote> <a name="a4"></a><a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a>(<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(0.20));
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity = today + 1*Years;
std::cout << std::endl ;
<span class="comment">// write column headings</span>
<a name="a5"></a><a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> widths[] = { 45, 15, 15 };
<a class="code" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> totalWidth = widths[0]+widths[1]+widths[2];
std::string rule(totalWidth, <span class="charliteral">'-'</span>), dblrule(totalWidth, <span class="charliteral">'='</span>);
std::cout << dblrule << std::endl;
std::cout << <span class="stringliteral">"Initial market conditions"</span> << std::endl;
std::cout << dblrule << std::endl;
std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Option"</span>
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"NPV"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"Error"</span>
<< std::endl;
std::cout << rule << std::endl;
<span class="comment">// bootstrap the yield/vol curves</span>
<a name="_a6"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> dayCounter = <a name="_a7"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>();
<a name="_a8"></a><a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a> h1(riskFreeRate);
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a> h2(<a class="code" href="group__manips.html#gc402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a>);
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<YieldTermStructure></a> flatRate(
boost::shared_ptr<YieldTermStructure>(
<span class="keyword">new</span> <a name="_a9"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(0, <a name="_a10"></a><a class="code" href="class_quant_lib_1_1_null_calendar.html" title="Calendar for reproducing theoretical calculations.">NullCalendar</a>(),
h1, dayCounter)));
<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<BlackVolTermStructure></a> flatVol(
boost::shared_ptr<BlackVolTermStructure>(
<span class="keyword">new</span> <a name="_a11"></a><a class="code" href="class_quant_lib_1_1_black_constant_vol.html" title="Constant Black volatility, no time-strike dependence.">BlackConstantVol</a>(0, <a class="code" href="class_quant_lib_1_1_null_calendar.html" title="Calendar for reproducing theoretical calculations.">NullCalendar</a>(),
h2, dayCounter)));
<span class="comment">// instantiate the option</span>
boost::shared_ptr<Exercise> exercise(
<span class="keyword">new</span> <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_european_exercise.html" title="European exercise.">EuropeanExercise</a>(maturity));
boost::shared_ptr<StrikedTypePayoff> payoff(
<span class="keyword">new</span> <a name="_a13"></a><a class="code" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a>(type, strike));
boost::shared_ptr<BlackScholesProcess> bsProcess(
<span class="keyword">new</span> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_black_scholes_process.html" title="Black-Scholes (1973) stochastic process.">BlackScholesProcess</a>(<a class="code" href="class_quant_lib_1_1_handle.html" title="Shared handle to an observable.">Handle<Quote></a>(underlying),
flatRate, flatVol));
boost::shared_ptr<PricingEngine> barrierEngine(
<span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_analytic_barrier_engine.html" title="Pricing engine for barrier options using analytical formulae.">AnalyticBarrierEngine</a>(bsProcess));
boost::shared_ptr<PricingEngine> europeanEngine(
<span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_analytic_european_engine.html" title="Pricing engine for European vanilla options using analytical formulae.">AnalyticEuropeanEngine</a>(bsProcess));
<a name="_a17"></a><a class="code" href="class_quant_lib_1_1_barrier_option.html" title="Barrier option on a single asset.">BarrierOption</a> referenceOption(barrierType, barrier, rebate,
payoff, exercise);
referenceOption.setPricingEngine(barrierEngine);
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> referenceValue = referenceOption.NPV();
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Original barrier option"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << referenceValue
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// Replicating portfolios</span>
<a name="_a18"></a><a class="code" href="class_quant_lib_1_1_composite_instrument.html" title="Composite instrument">CompositeInstrument</a> portfolio1, portfolio2, portfolio3;
<span class="comment">// Final payoff first (the same for all portfolios):</span>
<span class="comment">// as shown in Joshi, a put struck at K...</span>
boost::shared_ptr<Instrument> put1(
<span class="keyword">new</span> <a name="_a19"></a><a class="code" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset.">EuropeanOption</a>(payoff, exercise));
put1->setPricingEngine(europeanEngine);
portfolio1.<a name="a20"></a><a class="code" href="class_quant_lib_1_1_composite_instrument.html#6c2e5140cb8d3d49eb526feba0d0fda0" title="adds an instrument to the composite">add</a>(put1);
portfolio2.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#6c2e5140cb8d3d49eb526feba0d0fda0" title="adds an instrument to the composite">add</a>(put1);
portfolio3.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#6c2e5140cb8d3d49eb526feba0d0fda0" title="adds an instrument to the composite">add</a>(put1);
<span class="comment">// ...minus a digital put struck at B of notional K-B...</span>
boost::shared_ptr<StrikedTypePayoff> digitalPayoff(
<span class="keyword">new</span> <a name="_a21"></a><a class="code" href="class_quant_lib_1_1_cash_or_nothing_payoff.html" title="Binary cash-or-nothing payoff.">CashOrNothingPayoff</a>(Option::Put, barrier, 1.0));
boost::shared_ptr<Instrument> digitalPut(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset.">EuropeanOption</a>(digitalPayoff, exercise));
digitalPut->setPricingEngine(europeanEngine);
portfolio1.<a name="a22"></a><a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(digitalPut, strike-barrier);
portfolio2.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(digitalPut, strike-barrier);
portfolio3.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(digitalPut, strike-barrier);
<span class="comment">// ...minus a put option struck at B.</span>
boost::shared_ptr<StrikedTypePayoff> lowerPayoff(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a>(Option::Put, barrier));
boost::shared_ptr<Instrument> put2(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset.">EuropeanOption</a>(lowerPayoff, exercise));
put2->setPricingEngine(europeanEngine);
portfolio1.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(put2);
portfolio2.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(put2);
portfolio3.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(put2);
<span class="comment">// Now we use puts struck at B to kill the value of the</span>
<span class="comment">// portfolio on a number of points (B,t). For the first</span>
<span class="comment">// portfolio, we'll use 12 dates at one-month's distance.</span>
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> i;
<span class="keywordflow">for</span> (i=12; i>=1; i--) {
<span class="comment">// First, we instantiate the option...</span>
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> innerMaturity = today + i*Months;
boost::shared_ptr<Exercise> innerExercise(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_exercise.html" title="European exercise.">EuropeanExercise</a>(innerMaturity));
boost::shared_ptr<StrikedTypePayoff> innerPayoff(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a>(Option::Put, barrier));
boost::shared_ptr<Instrument> putn(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset.">EuropeanOption</a>(innerPayoff, innerExercise));
putn->setPricingEngine(europeanEngine);
<span class="comment">// ...second, we evaluate the current portfolio and the</span>
<span class="comment">// latest put at (B,t)...</span>
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> killDate = today + (i-1)*Months;
Settings::instance().evaluationDate() = killDate;
underlying->setValue(barrier);
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> portfolioValue = portfolio1.<a name="a23"></a><a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> putValue = putn->NPV();
<span class="comment">// ...finally, we estimate the notional that kills the</span>
<span class="comment">// portfolio value at that point...</span>
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> notional = portfolioValue/putValue;
<span class="comment">// ...and we subtract from the portfolio a put with such</span>
<span class="comment">// notional.</span>
portfolio1.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(putn, notional);
}
<span class="comment">// The portfolio being complete, we return to today's market...</span>
Settings::instance().evaluationDate() = today;
underlying->setValue(underlyingValue);
<span class="comment">// ...and output the value.</span>
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> portfolioValue = portfolio1.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (12 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
<span class="comment">// For the second portfolio, we'll use 26 dates at two-weeks'</span>
<span class="comment">// distance.</span>
<span class="keywordflow">for</span> (i=52; i>=2; i-=2) {
<span class="comment">// Same as above.</span>
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> innerMaturity = today + i*Weeks;
boost::shared_ptr<Exercise> innerExercise(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_exercise.html" title="European exercise.">EuropeanExercise</a>(innerMaturity));
boost::shared_ptr<StrikedTypePayoff> innerPayoff(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a>(Option::Put, barrier));
boost::shared_ptr<Instrument> putn(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset.">EuropeanOption</a>(innerPayoff, innerExercise));
putn->setPricingEngine(europeanEngine);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> killDate = today + (i-2)*Weeks;
Settings::instance().evaluationDate() = killDate;
underlying->setValue(barrier);
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> portfolioValue = portfolio2.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> putValue = putn->NPV();
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> notional = portfolioValue/putValue;
portfolio2.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(putn, notional);
}
Settings::instance().evaluationDate() = today;
underlying->setValue(underlyingValue);
portfolioValue = portfolio2.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (26 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
<span class="comment">// For the third portfolio, we'll use 52 dates at one-week's</span>
<span class="comment">// distance.</span>
<span class="keywordflow">for</span> (i=52; i>=1; i--) {
<span class="comment">// Same as above.</span>
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> innerMaturity = today + i*Weeks;
boost::shared_ptr<Exercise> innerExercise(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_exercise.html" title="European exercise.">EuropeanExercise</a>(innerMaturity));
boost::shared_ptr<StrikedTypePayoff> innerPayoff(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_plain_vanilla_payoff.html" title="Plain-vanilla payoff.">PlainVanillaPayoff</a>(Option::Put, barrier));
boost::shared_ptr<Instrument> putn(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_european_option.html" title="European option on a single asset.">EuropeanOption</a>(innerPayoff, innerExercise));
putn->setPricingEngine(europeanEngine);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> killDate = today + (i-1)*Weeks;
Settings::instance().evaluationDate() = killDate;
underlying->setValue(barrier);
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> portfolioValue = portfolio3.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> putValue = putn->NPV();
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> notional = portfolioValue/putValue;
portfolio3.<a class="code" href="class_quant_lib_1_1_composite_instrument.html#f781618b4ac4bee06da95a7c8b2ee662" title="shorts an instrument from the composite">subtract</a>(putn, notional);
}
Settings::instance().evaluationDate() = today;
underlying->setValue(underlyingValue);
portfolioValue = portfolio3.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (52 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
<span class="comment">// Now we modify the market condition to see whether the</span>
<span class="comment">// replication holds. First, we change the underlying value so</span>
<span class="comment">// that the option is out of the money.</span>
std::cout << dblrule << std::endl;
std::cout << <span class="stringliteral">"Modified market conditions: out of the money"</span>
<< std::endl;
std::cout << dblrule << std::endl;
std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Option"</span>
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"NPV"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"Error"</span>
<< std::endl;
std::cout << rule << std::endl;
underlying->setValue(110.0);
referenceValue = referenceOption.NPV();
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Original barrier option"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << referenceValue
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
portfolioValue = portfolio1.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (12 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
portfolioValue = portfolio2.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (26 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
portfolioValue = portfolio3.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (52 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
<span class="comment">// Next, we change the underlying value so that the option is</span>
<span class="comment">// in the money.</span>
std::cout << dblrule << std::endl;
std::cout << <span class="stringliteral">"Modified market conditions: in the money"</span> << std::endl;
std::cout << dblrule << std::endl;
std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Option"</span>
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"NPV"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"Error"</span>
<< std::endl;
std::cout << rule << std::endl;
underlying->setValue(90.0);
referenceValue = referenceOption.NPV();
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Original barrier option"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << referenceValue
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
portfolioValue = portfolio1.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (12 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
portfolioValue = portfolio2.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (26 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
portfolioValue = portfolio3.<a class="code" href="class_quant_lib_1_1_instrument.html#5a137dafb316bb3644a8f92bbf4c1abb" title="returns the net present value of the instrument.">NPV</a>();
error = portfolioValue - referenceValue;
std::cout << std::setw(widths[0]) << std::left
<< <span class="stringliteral">"Replicating portfolio (52 dates)"</span>
<< std::fixed
<< std::setw(widths[1]) << std::left << portfolioValue
<< std::setw(widths[2]) << std::left << error
<< std::endl;
<span class="comment">// Finally, a word of warning for those (shame on them) who</span>
<span class="comment">// run the example but do not read the code.</span>
std::cout << dblrule << std::endl;
std::cout
<< std::endl
<< <span class="stringliteral">"The replication seems to be less robust when volatility and \n"</span>
<< <span class="stringliteral">"risk-free rate are changed. Feel free to experiment with \n"</span>
<< <span class="stringliteral">"the example and contribute a patch if you spot any errors."</span>
<< std::endl;
<a class="code" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gb9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> minutes = int(seconds/60);
seconds -= minutes * 60;
std::cout << <span class="stringliteral">" \nRun completed in "</span>;
<span class="keywordflow">if</span> (hours > 0)
std::cout << hours << <span class="stringliteral">" h "</span>;
<span class="keywordflow">if</span> (hours > 0 || minutes > 0)
std::cout << minutes << <span class="stringliteral">" m "</span>;
std::cout << std::fixed << std::setprecision(0)
<< seconds << <span class="stringliteral">" s\n"</span> << std::endl;
<span class="keywordflow">return</span> 0;
} <span class="keywordflow">catch</span> (std::exception& e) {
std::cout << e.what() << std::endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
std::cout << <span class="stringliteral">"unknown error"</span> << std::endl;
<span class="keywordflow">return</span> 1;
}
}
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