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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file plainoption.cpp
\brief Plain (no dividends, no barriers) option on a single asset
\fullpath
ql/Instruments/%plainoption.cpp
*/
// $Id: plainoption.cpp,v 1.11 2002/03/05 16:58:02 lballabio Exp $
#include <ql/Instruments/plainoption.hpp>
#include <ql/Solvers1D/brent.hpp>
namespace QuantLib {
namespace Instruments {
PlainOption::PlainOption(Option::Type type,
const RelinkableHandle<MarketElement>& underlying,
double strike,
const RelinkableHandle<TermStructure>& dividendYield,
const RelinkableHandle<TermStructure>& riskFreeRate,
const Date& exerciseDate,
const RelinkableHandle<MarketElement>& volatility,
const Handle<OptionPricingEngine>& engine,
const std::string& isinCode, const std::string& description)
: Option(engine, isinCode, description), type_(type),
underlying_(underlying), strike_(strike),
dividendYield_(dividendYield), riskFreeRate_(riskFreeRate),
exerciseDate_(exerciseDate), volatility_(volatility) {
registerWith(underlying_);
registerWith(dividendYield_);
registerWith(riskFreeRate_);
registerWith(volatility_);
}
double PlainOption::delta() const {
calculate();
QL_REQUIRE(delta_ != Null<double>(),
"delta calculation failed");
return delta_;
}
double PlainOption::gamma() const {
calculate();
QL_REQUIRE(gamma_ != Null<double>(),
"gamma calculation failed");
return gamma_;
}
double PlainOption::theta() const {
calculate();
QL_REQUIRE(theta_ != Null<double>(),
"theta calculation failed");
return theta_;
}
double PlainOption::vega() const {
calculate();
QL_REQUIRE(vega_ != Null<double>(),
"vega calculation failed");
return vega_;
}
double PlainOption::rho() const {
calculate();
QL_REQUIRE(rho_ != Null<double>(),
"rho calculation failed");
return rho_;
}
double PlainOption::dividendRho() const {
calculate();
QL_REQUIRE(dividendRho_ != Null<double>(),
"dividend rho calculation failed");
return dividendRho_;
}
double PlainOption::impliedVolatility(double targetValue,
double accuracy, Size maxEvaluations,
double minVol, double maxVol) const {
double value = NPV(), vol = volatility_->value();
QL_REQUIRE(!isExpired_, "option expired");
if (value == targetValue) {
return vol;
} else {
ImpliedVolHelper f(engine_,targetValue);
Solvers1D::Brent solver;
solver.setMaxEvaluations(maxEvaluations);
return solver.solve(f,accuracy,vol,minVol,maxVol);
}
}
void PlainOption::setupEngine() const {
PlainOptionParameters* parameters =
dynamic_cast<PlainOptionParameters*>(
engine_->parameters());
QL_REQUIRE(parameters != 0,
"pricing engine does not supply needed parameters");
parameters->type = type_;
QL_REQUIRE(!underlying_.isNull(), "null underlying price given");
parameters->underlying = underlying_->value();
parameters->strike = strike_;
if (dividendYield_.isNull())
parameters->dividendYield = 0.0;
else
parameters->dividendYield =
dividendYield_->zeroYield(exerciseDate_);
QL_REQUIRE(!riskFreeRate_.isNull(), "null risk free rate given");
parameters->riskFreeRate =
riskFreeRate_->zeroYield(exerciseDate_);
parameters->residualTime =
riskFreeRate_->dayCounter().yearFraction(
riskFreeRate_->settlementDate(), exerciseDate_);
QL_REQUIRE(!volatility_.isNull(), "null volatility given");
parameters->volatility = volatility_->value();
}
void PlainOption::performCalculations() const {
if (exerciseDate_ <= riskFreeRate_->settlementDate()) {
isExpired_ = true;
NPV_ = delta_ = gamma_ = theta_ =
vega_ = rho_ = dividendRho_ = 0.0;
} else {
isExpired_ = false;
Option::performCalculations();
const OptionGreeks* results =
dynamic_cast<const OptionGreeks*>(engine_->results());
QL_ENSURE(results != 0,
"no greeks returned from option pricer");
/* no check on null values - just copy.
this allows:
a) to decide in derived options what to do when null
results are returned (throw? numerical calculation?)
b) to implement slim engines which only calculate the
value---of course care must be taken not to call
the greeks methods when using these.
*/
delta_ = results->delta;
gamma_ = results->gamma;
theta_ = results->theta;
vega_ = results->vega;
rho_ = results->rho;
dividendRho_ = results->dividendRho;
}
QL_ENSURE(isExpired_ || NPV_ != Null<double>(),
"null value returned from option pricer");
}
PlainOption::ImpliedVolHelper::ImpliedVolHelper(
const Handle<OptionPricingEngine>& engine, double targetValue)
: engine_(engine), targetValue_(targetValue) {
parameters_ = dynamic_cast<PlainOptionParameters*>(
engine_->parameters());
QL_REQUIRE(parameters_ != 0,
"pricing engine does not supply needed parameters");
results_ = dynamic_cast<const OptionValue*>(
engine_->results());
QL_REQUIRE(results_ != 0,
"pricing engine does not supply needed results");
}
double PlainOption::ImpliedVolHelper::operator()(double x) const {
parameters_->volatility = x;
engine_->calculate();
return results_->value-targetValue_;
}
}
namespace Pricers {
Arguments* PlainOptionEngine::parameters() {
return ¶meters_;
}
void PlainOptionEngine::validateParameters() const {
QL_REQUIRE(parameters_.type != Option::Type(-1),
"no option type given");
QL_REQUIRE(parameters_.underlying != Null<double>(),
"null underlying given");
QL_REQUIRE(parameters_.underlying > 0.0,
"negative or zero underlying given");
QL_REQUIRE(parameters_.strike != Null<double>(),
"null strike given");
QL_REQUIRE(parameters_.strike > 0.0,
"negative or zero strike given");
QL_REQUIRE(parameters_.dividendYield != Null<double>(),
"null dividend yield given");
QL_REQUIRE(parameters_.riskFreeRate != Null<double>(),
"null risk free rate given");
QL_REQUIRE(parameters_.residualTime != Null<double>(),
"null residual time given");
QL_REQUIRE(parameters_.residualTime > 0.0,
"negative or zero residual time given");
QL_REQUIRE(parameters_.volatility != Null<double>(),
"null volatility given");
QL_REQUIRE(parameters_.volatility > 0.0,
"negative or zero volatility given");
}
const Results* PlainOptionEngine::results() const {
return &results_;
}
}
}
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