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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
Copyright (C) 2007 StatPro Italia srl
Copyright (C) 2015 Peter Caspers
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/models/equity/hestonmodelhelper.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
HestonModelHelper::HestonModelHelper(
const Period& maturity,
const Calendar& calendar,
const Real s0,
const Real strikePrice,
const Handle<Quote>& volatility,
const Handle<YieldTermStructure>& riskFreeRate,
const Handle<YieldTermStructure>& dividendYield,
BlackCalibrationHelper::CalibrationErrorType errorType)
: BlackCalibrationHelper(volatility, errorType),
maturity_(maturity), calendar_(calendar),
s0_(Handle<Quote>(ext::make_shared<SimpleQuote>(s0))),
strikePrice_(strikePrice), riskFreeRate_(riskFreeRate),
dividendYield_(dividendYield) {
registerWith(riskFreeRate);
registerWith(dividendYield);
}
HestonModelHelper::HestonModelHelper(
const Period& maturity,
const Calendar& calendar,
const Handle<Quote>& s0,
const Real strikePrice,
const Handle<Quote>& volatility,
const Handle<YieldTermStructure>& riskFreeRate,
const Handle<YieldTermStructure>& dividendYield,
BlackCalibrationHelper::CalibrationErrorType errorType)
: BlackCalibrationHelper(volatility, errorType),
maturity_(maturity), calendar_(calendar), s0_(s0),
strikePrice_(strikePrice), riskFreeRate_(riskFreeRate),
dividendYield_(dividendYield) {
registerWith(s0);
registerWith(riskFreeRate);
registerWith(dividendYield);
}
void HestonModelHelper::performCalculations() const {
exerciseDate_ =
calendar_.advance(riskFreeRate_->referenceDate(), maturity_);
tau_ = riskFreeRate_->timeFromReference(exerciseDate_);
type_ = strikePrice_ * riskFreeRate_->discount(tau_) >=
s0_->value() * dividendYield_->discount(tau_)
? Option::Call
: Option::Put;
ext::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(type_, strikePrice_));
ext::shared_ptr<Exercise> exercise =
ext::make_shared<EuropeanExercise>(exerciseDate_);
option_ = ext::make_shared<VanillaOption>(payoff, exercise);
BlackCalibrationHelper::performCalculations();
}
Real HestonModelHelper::modelValue() const {
calculate();
option_->setPricingEngine(engine_);
return option_->NPV();
}
Real HestonModelHelper::blackPrice(Real volatility) const {
calculate();
const Real stdDev = volatility * std::sqrt(maturity());
return blackFormula(
type_, strikePrice_ * riskFreeRate_->discount(tau_),
s0_->value() * dividendYield_->discount(tau_), stdDev);
}
}
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