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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2016 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.
*/
#include <ql/exercise.hpp>
#include <ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp>
#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/processes/ornsteinuhlenbeckprocess.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
namespace {
class FdmOUInnerValue : public FdmInnerValueCalculator {
public:
FdmOUInnerValue(ext::shared_ptr<Payoff> payoff,
ext::shared_ptr<FdmMesher> mesher,
Size direction)
: payoff_(std::move(payoff)), mesher_(std::move(mesher)), direction_(direction) {}
Real innerValue(const FdmLinearOpIterator& iter, Time t) override {
const Real s = mesher_->location(iter, direction_);
return (*payoff_)(s);
}
Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {
return innerValue(iter, t);
}
private:
const ext::shared_ptr<Payoff> payoff_;
const ext::shared_ptr<FdmMesher> mesher_;
const Size direction_;
};
}
FdOrnsteinUhlenbeckVanillaEngine::FdOrnsteinUhlenbeckVanillaEngine(
ext::shared_ptr<OrnsteinUhlenbeckProcess> process,
const ext::shared_ptr<YieldTermStructure>& rTS,
Size tGrid,
Size xGrid,
Size dampingSteps,
Real epsilon,
const FdmSchemeDesc& schemeDesc)
: process_(std::move(process)), rTS_(rTS), tGrid_(tGrid), xGrid_(xGrid),
dampingSteps_(dampingSteps), epsilon_(epsilon), schemeDesc_(schemeDesc) {
registerWith(process_);
registerWith(rTS);
}
void FdOrnsteinUhlenbeckVanillaEngine::calculate() const {
// 1. Mesher
const ext::shared_ptr<StrikedTypePayoff> payoff =
ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
const DayCounter dc = rTS_->dayCounter();
const Date referenceDate = rTS_->referenceDate();
const Time maturity = dc.yearFraction(
referenceDate, arguments_.exercise->lastDate());
const ext::shared_ptr<Fdm1dMesher> equityMesher(
new FdmSimpleProcess1dMesher(
xGrid_, process_, maturity, 1, epsilon_));
const ext::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(equityMesher));
// 2. Calculator
const ext::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmOUInnerValue(payoff, mesher, 0));
// 3. Step conditions
const ext::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
arguments_.cashFlow, arguments_.exercise,
mesher, calculator,
referenceDate, dc);
// 4. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 5. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
maturity, tGrid_, dampingSteps_ };
const ext::shared_ptr<FdmOrnsteinUhlenbeckOp> op(
new FdmOrnsteinUhlenbeckOp(mesher, process_, rTS_, 0));
const ext::shared_ptr<Fdm1DimSolver> solver(
new Fdm1DimSolver(solverDesc, schemeDesc_, op));
const Real spot = process_->x0();
results_.value = solver->interpolateAt(spot);
results_.delta = solver->derivativeX(spot);
results_.gamma = solver->derivativeXX(spot);
results_.theta = solver->thetaAt(spot);
}
}
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