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<p>This example evaluates European, American and Bermudan options using different methods.</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">// 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#gab9c87440c314438e51a899a03d2442d0" 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;
<span class="comment">// set up dates</span>
<a name="_a1"></a><a class="code" href="class_quant_lib_1_1_calendar.html" title="calendar class">Calendar</a> calendar = <a name="_a2"></a><a class="code" href="class_quant_lib_1_1_t_a_r_g_e_t.html" title="TARGET calendar">TARGET</a>();
<a name="_a3"></a><a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> todaysDate(15, May, 1998);
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> settlementDate(17, May, 1998);
<a name="a4"></a><a class="code" href="class_quant_lib_1_1_singleton.html#ab7455b7e1235d292c444095842349291" title="access to the unique instance">Settings::instance</a>().<a name="a5"></a><a class="code" href="class_quant_lib_1_1_settings.html#a95055e9410ed0465a5f30d3ffc90c1d3" title="the date at which pricing is to be performed.">evaluationDate</a>() = todaysDate;
<span class="comment">// our options</span>
Option::Type type(Option::Put);
<a name="a6"></a><a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> underlying = 36;
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> strike = 40;
<a name="a7"></a><a class="code" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d" title="spreads on interest rates">Spread</a> dividendYield = 0.00;
<a name="a8"></a><a class="code" href="group__types.html#gaede435af51236692b1107d7639581d39" title="interest rates">Rate</a> riskFreeRate = 0.06;
<a name="a9"></a><a class="code" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3" title="volatility">Volatility</a> <a name="a10"></a><a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">volatility</a> = 0.20;
<a class="code" href="class_quant_lib_1_1_date.html" title="Concrete date class.">Date</a> maturity(17, May, 1999);
<a name="_a11"></a><a class="code" href="class_quant_lib_1_1_day_counter.html" title="day counter class">DayCounter</a> dayCounter = <a name="_a12"></a><a class="code" href="class_quant_lib_1_1_actual365_fixed.html" title="Actual/365 (Fixed) day count convention.">Actual365Fixed</a>();
std::cout << <span class="stringliteral">"Option type = "</span> << type << std::endl;
std::cout << <span class="stringliteral">"Maturity = "</span> << maturity << std::endl;
std::cout << <span class="stringliteral">"Underlying price = "</span> << underlying << std::endl;
std::cout << <span class="stringliteral">"Strike = "</span> << strike << std::endl;
std::cout << <span class="stringliteral">"Risk-free interest rate = "</span> << <a name="a13"></a><a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(riskFreeRate)
<< std::endl;
std::cout << <span class="stringliteral">"Dividend yield = "</span> << <a class="code" href="group__manips.html#gac63ea3dad10259db3764c7d15a61cde5" title="output rates and spreads as percentages">io::rate</a>(dividendYield)
<< std::endl;
std::cout << <span class="stringliteral">"Volatility = "</span> << <a class="code" href="group__manips.html#gac402ef7c87f63f7c603ee87210b5750c" title="output volatilities as percentages">io::volatility</a>(volatility)
<< std::endl;
std::cout << std::endl;
std::string method;
std::cout << std::endl ;
<span class="comment">// write column headings</span>
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> widths[] = { 35, 14, 14, 14 };
std::cout << std::setw(widths[0]) << std::left << <span class="stringliteral">"Method"</span>
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"European"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"Bermudan"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"American"</span>
<< std::endl;
std::vector<Date> exerciseDates;
<span class="keywordflow">for</span> (<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> i=1; i<=4; i++)
exerciseDates.push_back(settlementDate + 3*i*Months);
boost::shared_ptr<Exercise> europeanExercise(
<span class="keyword">new</span> <a name="_a14"></a><a class="code" href="class_quant_lib_1_1_european_exercise.html" title="European exercise.">EuropeanExercise</a>(maturity));
boost::shared_ptr<Exercise> bermudanExercise(
<span class="keyword">new</span> <a name="_a15"></a><a class="code" href="class_quant_lib_1_1_bermudan_exercise.html" title="Bermudan exercise.">BermudanExercise</a>(exerciseDates));
boost::shared_ptr<Exercise> americanExercise(
<span class="keyword">new</span> <a name="_a16"></a><a class="code" href="class_quant_lib_1_1_american_exercise.html" title="American exercise.">AmericanExercise</a>(settlementDate,
maturity));
<a name="_a17"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<Quote></a> underlyingH(
boost::shared_ptr<Quote>(<span class="keyword">new</span> <a name="_a18"></a><a class="code" href="class_quant_lib_1_1_simple_quote.html" title="market element returning a stored value">SimpleQuote</a>(underlying)));
<span class="comment">// bootstrap the yield/dividend/vol curves</span>
<a name="_a19"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatTermStructure(
boost::shared_ptr<YieldTermStructure>(
<span class="keyword">new</span> <a name="_a20"></a><a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(settlementDate, riskFreeRate, dayCounter)));
<a class="code" href="class_quant_lib_1_1_handle.html">Handle<YieldTermStructure></a> flatDividendTS(
boost::shared_ptr<YieldTermStructure>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_flat_forward.html" title="Flat interest-rate curve.">FlatForward</a>(settlementDate, dividendYield, dayCounter)));
<a name="_a21"></a><a class="code" href="class_quant_lib_1_1_handle.html">Handle<BlackVolTermStructure></a> flatVolTS(
boost::shared_ptr<BlackVolTermStructure>(
<span class="keyword">new</span> <a name="_a22"></a><a class="code" href="class_quant_lib_1_1_black_constant_vol.html" title="Constant Black volatility, no time-strike dependence.">BlackConstantVol</a>(settlementDate, calendar, volatility,
dayCounter)));
boost::shared_ptr<StrikedTypePayoff> payoff(
<span class="keyword">new</span> <a name="_a23"></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<BlackScholesMertonProcess> bsmProcess(
<span class="keyword">new</span> <a name="_a24"></a><a class="code" href="class_quant_lib_1_1_black_scholes_merton_process.html" title="Merton (1973) extension to the Black-Scholes stochastic process.">BlackScholesMertonProcess</a>(underlyingH, flatDividendTS,
flatTermStructure, flatVolTS));
<span class="comment">// options</span>
<a name="_a25"></a><a class="code" href="class_quant_lib_1_1_vanilla_option.html" title="Vanilla option (no discrete dividends, no barriers) on a single asset.">VanillaOption</a> europeanOption(payoff, europeanExercise);
<a class="code" href="class_quant_lib_1_1_vanilla_option.html" title="Vanilla option (no discrete dividends, no barriers) on a single asset.">VanillaOption</a> bermudanOption(payoff, bermudanExercise);
<a class="code" href="class_quant_lib_1_1_vanilla_option.html" title="Vanilla option (no discrete dividends, no barriers) on a single asset.">VanillaOption</a> americanOption(payoff, americanExercise);
<span class="comment">// Analytic formulas:</span>
<span class="comment">// Black-Scholes for European</span>
method = <span class="stringliteral">"Black-Scholes"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a26"></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>(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// semi-analytic Heston for European</span>
method = <span class="stringliteral">"Heston semi-analytic"</span>;
boost::shared_ptr<HestonProcess> hestonProcess(
<span class="keyword">new</span> <a name="_a27"></a><a class="code" href="class_quant_lib_1_1_heston_process.html" title="Square-root stochastic-volatility Heston process.">HestonProcess</a>(flatTermStructure, flatDividendTS,
underlyingH, volatility*volatility,
1.0, volatility*volatility, 0.001, 0.0));
boost::shared_ptr<HestonModel> hestonModel(
<span class="keyword">new</span> <a name="_a28"></a><a class="code" href="class_quant_lib_1_1_heston_model.html" title="Heston model for the stochastic volatility of an asset.">HestonModel</a>(hestonProcess));
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a29"></a><a class="code" href="class_quant_lib_1_1_analytic_heston_engine.html" title="analytic Heston-model engine based on Fourier transform">AnalyticHestonEngine</a>(hestonModel)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// semi-analytic Bates for European</span>
method = <span class="stringliteral">"Bates semi-analytic"</span>;
boost::shared_ptr<BatesProcess> batesProcess(
<span class="keyword">new</span> <a name="_a30"></a><a class="code" href="class_quant_lib_1_1_bates_process.html" title="Square-root stochastic-volatility Bates process.">BatesProcess</a>(flatTermStructure, flatDividendTS,
underlyingH, volatility*volatility,
1.0, volatility*volatility, 0.001, 0.0,
1e-14, 1e-14, 1e-14));
boost::shared_ptr<BatesModel> batesModel(<span class="keyword">new</span> <a name="_a31"></a><a class="code" href="class_quant_lib_1_1_bates_model.html" title="Bates stochastic-volatility model.">BatesModel</a>(batesProcess));
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a32"></a><a class="code" href="class_quant_lib_1_1_bates_engine.html" title="Bates model engines based on Fourier transform.">BatesEngine</a>(batesModel)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// Barone-Adesi and Whaley approximation for American</span>
method = <span class="stringliteral">"Barone-Adesi/Whaley"</span>;
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a33"></a><a class="code" href="class_quant_lib_1_1_barone_adesi_whaley_approximation_engine.html" title="Barone-Adesi and Whaley pricing engine for American options (1987)">BaroneAdesiWhaleyApproximationEngine</a>(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Bjerksund and Stensland approximation for American</span>
method = <span class="stringliteral">"Bjerksund/Stensland"</span>;
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a34"></a><a class="code" href="class_quant_lib_1_1_bjerksund_stensland_approximation_engine.html" title="Bjerksund and Stensland pricing engine for American options (1993)">BjerksundStenslandApproximationEngine</a>(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Integral</span>
method = <span class="stringliteral">"Integral"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a35"></a><a class="code" href="class_quant_lib_1_1_integral_engine.html" title="Pricing engine for European vanilla options using integral approach.">IntegralEngine</a>(bsmProcess)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// Finite differences</span>
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> timeSteps = 801;
method = <span class="stringliteral">"Finite differences"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a36"></a><a class="code" href="class_quant_lib_1_1_f_d_european_engine.html" title="Pricing engine for European options using finite-differences.">FDEuropeanEngine<CrankNicolson></a>(bsmProcess,
timeSteps,timeSteps-1)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a37"></a><a class="code" href="class_quant_lib_1_1_f_d_bermudan_engine.html" title="Finite-differences Bermudan engine.">FDBermudanEngine<CrankNicolson></a>(bsmProcess,
timeSteps,timeSteps-1)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a38"></a><a class="code" href="class_quant_lib_1_1_f_d_american_engine.html" title="Finite-differences pricing engine for American one asset options.">FDAmericanEngine<CrankNicolson></a>(bsmProcess,
timeSteps,timeSteps-1)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Binomial method: Jarrow-Rudd</span>
method = <span class="stringliteral">"Binomial Jarrow-Rudd"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a name="_a39"></a><a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<JarrowRudd></a>(bsmProcess,timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<JarrowRudd></a>(bsmProcess,timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<JarrowRudd></a>(bsmProcess,timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
method = <span class="stringliteral">"Binomial Cox-Ross-Rubinstein"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<CoxRossRubinstein></a>(bsmProcess,
timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<CoxRossRubinstein></a>(bsmProcess,
timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<CoxRossRubinstein></a>(bsmProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Binomial method: Additive equiprobabilities</span>
method = <span class="stringliteral">"Additive equiprobabilities"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<AdditiveEQPBinomialTree></a>(bsmProcess,
timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<AdditiveEQPBinomialTree></a>(bsmProcess,
timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<AdditiveEQPBinomialTree></a>(bsmProcess,
timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Binomial method: Binomial Trigeorgis</span>
method = <span class="stringliteral">"Binomial Trigeorgis"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Trigeorgis></a>(bsmProcess,timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Trigeorgis></a>(bsmProcess,timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Trigeorgis></a>(bsmProcess,timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Binomial method: Binomial Tian</span>
method = <span class="stringliteral">"Binomial Tian"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Tian></a>(bsmProcess,timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Tian></a>(bsmProcess,timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Tian></a>(bsmProcess,timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Binomial method: Binomial Leisen-Reimer</span>
method = <span class="stringliteral">"Binomial Leisen-Reimer"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<LeisenReimer></a>(bsmProcess,timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<LeisenReimer></a>(bsmProcess,timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<LeisenReimer></a>(bsmProcess,timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Binomial method: Binomial Joshi</span>
method = <span class="stringliteral">"Binomial Joshi"</span>;
europeanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Joshi4></a>(bsmProcess,timeSteps)));
bermudanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Joshi4></a>(bsmProcess,timeSteps)));
americanOption.setPricingEngine(boost::shared_ptr<PricingEngine>(
<span class="keyword">new</span> <a class="code" href="class_quant_lib_1_1_binomial_vanilla_engine.html" title="Pricing engine for vanilla options using binomial trees.">BinomialVanillaEngine<Joshi4></a>(bsmProcess,timeSteps)));
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << bermudanOption.NPV()
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// Monte Carlo Method: MC (crude)</span>
timeSteps = 1;
method = <span class="stringliteral">"MC (crude)"</span>;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> mcSeed = 42;
boost::shared_ptr<PricingEngine> mcengine1;
mcengine1 = <a name="_a40"></a><a class="code" href="class_quant_lib_1_1_make_m_c_european_engine.html" title="Monte Carlo European engine factory.">MakeMCEuropeanEngine<PseudoRandom></a>(bsmProcess)
.withSteps(timeSteps)
.<a name="a41"></a>withAbsoluteTolerance(0.02)
.<a name="a42"></a>withSeed(mcSeed);
europeanOption.setPricingEngine(mcengine1);
<span class="comment">// Real errorEstimate = europeanOption.errorEstimate();</span>
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// Monte Carlo Method: QMC (Sobol)</span>
method = <span class="stringliteral">"QMC (Sobol)"</span>;
<a class="code" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77" title="size of a container">Size</a> nSamples = 32768; <span class="comment">// 2^15</span>
boost::shared_ptr<PricingEngine> mcengine2;
mcengine2 = <a class="code" href="class_quant_lib_1_1_make_m_c_european_engine.html" title="Monte Carlo European engine factory.">MakeMCEuropeanEngine<LowDiscrepancy></a>(bsmProcess)
.withSteps(timeSteps)
.<a name="a43"></a>withSamples(nSamples);
europeanOption.setPricingEngine(mcengine2);
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << europeanOption.NPV()
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::endl;
<span class="comment">// Monte Carlo Method: MC (Longstaff Schwartz)</span>
method = <span class="stringliteral">"MC (Longstaff Schwartz)"</span>;
boost::shared_ptr<PricingEngine> mcengine3;
mcengine3 = <a name="_a44"></a><a class="code" href="class_quant_lib_1_1_make_m_c_american_engine.html" title="Monte Carlo American engine factory.">MakeMCAmericanEngine<PseudoRandom></a>(bsmProcess)
.withSteps(100)
.<a name="a45"></a>withAntitheticVariate()
.<a name="a46"></a>withCalibrationSamples(4096)
.<a name="a47"></a>withAbsoluteTolerance(0.02)
.<a name="a48"></a>withSeed(mcSeed);
americanOption.setPricingEngine(mcengine3);
std::cout << std::setw(widths[0]) << std::left << method
<< std::fixed
<< std::setw(widths[1]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[2]) << std::left << <span class="stringliteral">"N/A"</span>
<< std::setw(widths[3]) << std::left << americanOption.NPV()
<< std::endl;
<span class="comment">// End test</span>
<a class="code" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78" title="real number">Real</a> seconds = timer.elapsed();
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" title="integer number">Integer</a> hours = int(seconds/3600);
seconds -= hours * 3600;
<a class="code" href="group__types.html#gab9c87440c314438e51a899a03d2442d0" 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::cerr << e.what() << std::endl;
<span class="keywordflow">return</span> 1;
} <span class="keywordflow">catch</span> (...) {
std::cerr << <span class="stringliteral">"unknown error"</span> << std::endl;
<span class="keywordflow">return</span> 1;
}
}
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