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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.hpp
\brief Plain (no dividends, no barriers) option on a single asset
\fullpath
ql/Instruments/%plainoption.hpp
*/
// $Id: plainoption.hpp,v 1.12 2002/03/05 16:58:02 lballabio Exp $
#ifndef quantlib_plain_option_h
#define quantlib_plain_option_h
#include <ql/option.hpp>
#include <ql/termstructure.hpp>
#include <ql/solver1d.hpp>
namespace QuantLib {
namespace Instruments {
class PlainOptionParameters;
//! Plain (no dividends, no barriers) option on a single asset
class PlainOption : public Option {
public:
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 = "");
//! \name greeks
//@{
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
//@}
/*! \warning Options with a gamma that changes sign have values
that are <b>not</b> monotonic in the volatility, e.g binary
options. In these cases impliedVolatility can fail and in
any case it is almost meaningless.
Another possible source of failure is to have a
targetValue that is not attainable with any volatility, e.g.
a targetValue lower than the intrinsic value in the case of
American options. */
double impliedVolatility(double targetValue,
double accuracy = 1.0e-4,
Size maxEvaluations = 100,
double minVol = 1.0e-4,
double maxVol = 4.0) const;
protected:
void setupEngine() const;
void performCalculations() const;
private:
// parameters
Option::Type type_;
RelinkableHandle<MarketElement> underlying_;
double strike_;
RelinkableHandle<TermStructure> dividendYield_, riskFreeRate_;
Date exerciseDate_;
RelinkableHandle<MarketElement> volatility_;
// results
mutable double delta_, gamma_, theta_, vega_, rho_, dividendRho_;
// helper class for implied volatility calculation
class ImpliedVolHelper : public ObjectiveFunction {
public:
ImpliedVolHelper(const Handle<OptionPricingEngine>& engine,
double targetValue);
double operator()(double x) const;
private:
Handle<OptionPricingEngine> engine_;
double targetValue_;
PlainOptionParameters* parameters_;
const OptionValue* results_;
};
};
//! parameters for plain option calculation
class PlainOptionParameters : public virtual Arguments {
public:
PlainOptionParameters() : type(Option::Type(-1)),
underlying(Null<double>()),
strike(Null<double>()),
dividendYield(Null<double>()),
riskFreeRate(Null<double>()),
residualTime(Null<double>()),
volatility(Null<double>()) {}
Option::Type type;
double underlying, strike;
Spread dividendYield;
Rate riskFreeRate;
Time residualTime;
double volatility;
};
//! %results from plain option calculation
class PlainOptionResults : public OptionValue, public OptionGreeks {};
}
namespace Pricers {
//! base class for plain option pricing engines
/*! Derived engines only need to implement the <tt>calculate()</tt>
method
*/
class PlainOptionEngine : public OptionPricingEngine {
public:
Arguments* parameters();
void validateParameters() const;
const Results* results() const;
protected:
Instruments::PlainOptionParameters parameters_;
mutable Instruments::PlainOptionResults results_;
};
}
}
#endif
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