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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 fdsimpleextoujumpswingengine.cpp
\brief Finite Differences engine for simple swing options
*/
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
#include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
namespace QuantLib {
FdSimpleExtOUJumpSwingEngine::FdSimpleExtOUJumpSwingEngine(
const boost::shared_ptr<ExtOUWithJumpsProcess>& process,
const boost::shared_ptr<YieldTermStructure>& rTS,
Size tGrid, Size xGrid, Size yGrid,
const boost::shared_ptr<Shape>& shape,
const FdmSchemeDesc& schemeDesc)
: process_(process),
rTS_(rTS),
shape_(shape),
tGrid_(tGrid), xGrid_(xGrid), yGrid_(yGrid),
schemeDesc_(schemeDesc) {
}
void FdSimpleExtOUJumpSwingEngine::calculate() const {
boost::shared_ptr<SwingExercise> swingExercise(
boost::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
QL_REQUIRE(swingExercise, "Swing exercise supported only");
// 1. Layout
std::vector<Size> dim;
dim.push_back(xGrid_);
dim.push_back(yGrid_);
dim.push_back(arguments_.maxExerciseRights+1);
const boost::shared_ptr<FdmLinearOpLayout> layout(
new FdmLinearOpLayout(dim));
// 2. Mesher
const std::vector<Time> exerciseTimes
= swingExercise->exerciseTimes(rTS_->dayCounter(),
rTS_->referenceDate());
const Time maturity = exerciseTimes.back();
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()));
const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
new Uniform1dMesher(0, arguments_.maxExerciseRights,
arguments_.maxExerciseRights+1));
std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
meshers.push_back(xMesher);
meshers.push_back(yMesher);
meshers.push_back(exerciseMesher);
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(layout, meshers));
// 3. Calculator
boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmZeroInnerValue());
// 4. Step conditions
std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
std::list<std::vector<Time> > stoppingTimes;
// 4.1 Bermudan step conditions
stoppingTimes.push_back(exerciseTimes);
const boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
boost::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
new FdmExtOUJumpModelInnerValue(payoff, mesher, shape_));
stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
new FdmSimpleSwingCondition(exerciseTimes, mesher,
exerciseCalculator, 2)));
boost::shared_ptr<FdmStepConditionComposite> conditions(
new FdmStepConditionComposite(stoppingTimes, stepConditions));
// 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<FdmSimple3dExtOUJumpSolver> solver(
new FdmSimple3dExtOUJumpSolver(
Handle<ExtOUWithJumpsProcess>(process_),
rTS_, solverDesc, schemeDesc_));
const Real x = process_->initialValues()[0];
const Real y = process_->initialValues()[1];
std::vector< std::pair<Real, Real> > exerciseValues;
for (Size i=arguments_.minExerciseRights;
i <= arguments_.maxExerciseRights; ++i) {
const Real z = Real(i);
exerciseValues.push_back(std::pair<Real, Real>(
solver->valueAt(x, y, z), z));
}
const Real z = std::max_element(exerciseValues.begin(),
exerciseValues.end())->second;
results_.value = solver->valueAt(x, y, z);
}
}
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