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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Dimitri Reiswich
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 analyticcompoundoptionengine.hpp
\brief Analytic compound option engines
*/
#ifndef quantlib_analytic_compound_option_engine_hpp
#define quantlib_analytic_compound_option_engine_hpp
#include <ql/experimental/compoundoption/compoundoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
namespace QuantLib {
//! Pricing engine for compound options using analytical formulae
/*! The formulas are taken from "Foreign Exchange Risk",
Uwe Wystup, Risk 2002, where closed form Greeks are available.
(not available in Haug 2007).
Value: Page 84, Greeks: Pages 94-95.
\test the correctness of the returned value is tested by
reproducing results available in literature.
*/
class AnalyticCompoundOptionEngine : public CompoundOption::engine {
public:
AnalyticCompoundOptionEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process);
void calculate() const;
private:
CumulativeNormalDistribution N_;
NormalDistribution n_;
boost::shared_ptr<GeneralizedBlackScholesProcess> process_;
// helper methods
Time residualTimeMother() const;
Time residualTimeDaughter() const;
Time residualTimeMotherDaughter() const;
Date maturityMother() const;
Date maturityDaughter() const;
Real dPlus() const;
Real dMinus() const;
Real dPlusTau12(Real S) const;
Real dMinusTau12() const;
Real strikeDaughter() const;
Real strikeMother() const;
Real spot() const;
Real volatilityDaughter() const;
Real volatilityMother() const;
Real riskFreeRateDaughter() const;
Real dividendRateDaughter() const;
Real stdDeviationDaughter() const;
Real stdDeviationMother() const;
Real typeDaughter() const;
Real typeMother() const;
Real transformX(Real X) const;
Real e(Real X) const;
DiscountFactor riskFreeDiscountDaughter() const;
DiscountFactor riskFreeDiscountMother() const;
DiscountFactor riskFreeDiscountMotherDaughter() const;
DiscountFactor dividendDiscountDaughter() const;
DiscountFactor dividendDiscountMother() const;
DiscountFactor dividendDiscountMotherDaughter() const;
boost::shared_ptr<PlainVanillaPayoff> payoffMother() const;
boost::shared_ptr<PlainVanillaPayoff> payoffDaughter() const;
};
// Helper Class needed to solve an implicit problem of finding a
// spot to a corresponding option price.
class ImpliedSpotHelper {
public:
ImpliedSpotHelper(DiscountFactor dividendDiscount,
DiscountFactor riskFreeDiscount,
Real standardDeviation ,
boost::shared_ptr<PlainVanillaPayoff> payoff,
Real strike);
Real operator()(Real spot)const;
private:
DiscountFactor dividendDiscount_;
DiscountFactor riskFreeDiscount_;
Real standardDeviation_;
Real strike_;
boost::shared_ptr<PlainVanillaPayoff> payoff_;
};
}
#endif
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