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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Neil Firth
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2007 StatPro Italia srl
Copyright (C) 2013 Yue Tian
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/experimental/barrieroption/doublebarrieroption.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/experimental/barrieroption/analyticdoublebarrierengine.hpp>
#include <ql/exercise.hpp>
#include <boost/scoped_ptr.hpp>
#include <boost/make_shared.hpp>
namespace QuantLib {
DoubleBarrierOption::DoubleBarrierOption(
std::vector<Barrier::Type> barrierType,
std::vector<Real> barrier,
std::vector<Real> rebate,
const boost::shared_ptr<StrikedTypePayoff>& payoff,
const boost::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
barrierType_(barrierType), barrier_(barrier), rebate_(rebate) {}
void DoubleBarrierOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
DoubleBarrierOption::arguments* moreArgs =
dynamic_cast<DoubleBarrierOption::arguments*>(args);
QL_REQUIRE(moreArgs != 0, "wrong argument type");
moreArgs->barrierType = barrierType_;
moreArgs->barrier = barrier_;
moreArgs->rebate = rebate_;
}
Volatility DoubleBarrierOption::impliedVolatility(
Real targetValue,
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
QL_REQUIRE(!isExpired(), "option expired");
boost::shared_ptr<SimpleQuote> volQuote =
boost::make_shared<SimpleQuote>();
boost::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
detail::ImpliedVolatilityHelper::clone(process, volQuote);
// engines are built-in for the time being
boost::scoped_ptr<PricingEngine> engine;
switch (exercise_->type()) {
case Exercise::European:
engine.reset(new AnalyticDoubleBarrierEngine(newProcess));
break;
case Exercise::American:
case Exercise::Bermudan:
QL_FAIL("engine not available for non-European barrier option");
break;
default:
QL_FAIL("unknown exercise type");
}
return detail::ImpliedVolatilityHelper::calculate(*this,
*engine,
*volQuote,
targetValue,
accuracy,
maxEvaluations,
minVol, maxVol);
}
DoubleBarrierOption::arguments::arguments()
: barrierType(std::vector<Barrier::Type>(2, Barrier::Type(-1))), barrier(std::vector<Real>(2, 0.0)),
rebate(std::vector<Real>(2, 0.0)) {}
void DoubleBarrierOption::arguments::validate() const {
OneAssetOption::arguments::validate();
QL_REQUIRE(barrierType.size() == 2, "2 barrier type should be given");
QL_REQUIRE(barrier.size() == 2, "2 barrier should be given");
QL_REQUIRE(rebate.size() == 2, "2 rebate should be given");
switch (barrierType[0]) {
case Barrier::DownIn:
QL_REQUIRE(barrierType[1] == Barrier::UpIn, "both barrier type should be In");
break;
case Barrier::UpIn:
QL_FAIL("rearrange the order of barrier types as L/H");
break;
case Barrier::DownOut:
QL_REQUIRE(barrierType[1] == Barrier::UpOut, "both barrier type should be Out");
break;
case Barrier::UpOut:
QL_FAIL("rearrange the order of barrier types as L/H");
break;
default:
QL_FAIL("unknown type");
}
QL_REQUIRE(barrier[0] < barrier[1], "rearrange the order of barriers as L/H");
}
bool DoubleBarrierOption::engine::triggered(Real underlying) const {
switch (arguments_.barrierType[0]) {
case Barrier::DownIn:
case Barrier::DownOut:
return underlying < arguments_.barrier[1] && underlying < arguments_.barrier[0];
default:
QL_FAIL("unknown type");
}
}
}
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