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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 Klaus Spanderen
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 fdoujumpvanillaengine.cpp
\brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine
for simple swing options
*/
#include <ql/exercise.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>
namespace QuantLib {
FdExtOUJumpVanillaEngine::FdExtOUJumpVanillaEngine(
const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
Size tGrid, Size xGrid, Size yGrid,
const FdmSchemeDesc& schemeDesc)
: process_(process),
rTS_(rTS),
tGrid_(tGrid),
xGrid_(xGrid),
yGrid_(yGrid),
schemeDesc_(schemeDesc) {
}
void FdExtOUJumpVanillaEngine::calculate() const {
// 1. Layout
std::vector<Size> dim;
dim.push_back(xGrid_);
dim.push_back(yGrid_);
const boost::shared_ptr<FdmLinearOpLayout> layout(
new FdmLinearOpLayout(dim));
// 2. Mesher
const Time maturity
= rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
arguments_.exercise->lastDate());
const boost::shared_ptr<StochasticProcess1D> ouProcess(
process_->getExtendedOrnsteinUhlenbeckProcess());
const boost::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
const boost::shared_ptr<Fdm1dMesher> yMesher(
new ExponentialJump1dMesher(yGrid_,
process_->beta(),
process_->jumpIntensity(),
process_->eta()));
std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
meshers.push_back(xMesher);
meshers.push_back(yMesher);
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(layout, meshers));
// 3. Calculator
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher));
// 4. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator,
rTS_->referenceDate(), rTS_->dayCounter());
// 5. Boundary conditions
const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
// 6. set-up solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity, tGrid_, 0 };
const boost::shared_ptr<FdmExtOUJumpSolver> solver(
new FdmExtOUJumpSolver(Handle<ExtOUWithJumpsProcess>(process_),
rTS_, solverDesc, schemeDesc_));
const Real x = process_->initialValues()[0];
const Real y = process_->initialValues()[1];
results_.value = solver->valueAt(x, y);
}
}
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