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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2007 StatPro Italia 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
<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.
*/
#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
AnalyticCliquetEngine::AnalyticCliquetEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process)
: process_(process) {
registerWith(process_);
}
void AnalyticCliquetEngine::calculate() const {
QL_REQUIRE(arguments_.accruedCoupon == Null<Real>() &&
arguments_.lastFixing == Null<Real>(),
"this engine cannot price options already started");
QL_REQUIRE(arguments_.localCap == Null<Real>() &&
arguments_.localFloor == Null<Real>() &&
arguments_.globalCap == Null<Real>() &&
arguments_.globalFloor == Null<Real>(),
"this engine cannot price capped/floored options");
QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
"not an European option");
boost::shared_ptr<PercentageStrikePayoff> moneyness =
boost::dynamic_pointer_cast<PercentageStrikePayoff>(
arguments_.payoff);
QL_REQUIRE(moneyness, "wrong payoff given");
std::vector<Date> resetDates = arguments_.resetDates;
resetDates.push_back(arguments_.exercise->lastDate());
Real underlying = process_->stateVariable()->value();
QL_REQUIRE(underlying > 0.0, "negative or null underlying");
Real strike = underlying * moneyness->strike();
boost::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(moneyness->optionType(),strike));
results_.value = 0.0;
results_.delta = results_.gamma = 0.0;
results_.theta = 0.0;
results_.rho = results_.dividendRho = 0.0;
results_.vega = 0.0;
for (Size i = 1; i < resetDates.size(); i++) {
Real weight =
process_->dividendYield()->discount(resetDates[i-1]);
DiscountFactor discount =
process_->riskFreeRate()->discount(resetDates[i]) /
process_->riskFreeRate()->discount(resetDates[i-1]);
DiscountFactor qDiscount =
process_->dividendYield()->discount(resetDates[i]) /
process_->dividendYield()->discount(resetDates[i-1]);
Real forward = underlying*qDiscount/discount;
Real variance =
process_->blackVolatility()->blackForwardVariance(
resetDates[i-1],resetDates[i],strike);
BlackCalculator black(payoff, forward, std::sqrt(variance), discount);
DayCounter rfdc = process_->riskFreeRate()->dayCounter();
DayCounter divdc = process_->dividendYield()->dayCounter();
DayCounter voldc = process_->blackVolatility()->dayCounter();
results_.value += weight * black.value();
results_.delta += weight * (black.delta(underlying) +
moneyness->strike() * discount *
black.beta());
results_.gamma += 0.0;
results_.theta += process_->dividendYield()->forwardRate(
resetDates[i-1], resetDates[i], rfdc, Continuous, NoFrequency) *
weight * black.value();
Time dt = rfdc.yearFraction(resetDates[i-1],resetDates[i]);
results_.rho += weight * black.rho(dt);
Time t = divdc.yearFraction(
process_->dividendYield()->referenceDate(),
resetDates[i-1]);
dt = divdc.yearFraction(resetDates[i-1],resetDates[i]);
results_.dividendRho += weight * (black.dividendRho(dt) -
t * black.value());
dt = voldc.yearFraction(resetDates[i-1], resetDates[i]);
results_.vega += weight * black.vega(dt);
}
}
}
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