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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.
*/
#include <ql/exercise.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/experimental/processes/klugeextouprocess.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>
#include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>
namespace QuantLib {
FdKlugeExtOUSpreadEngine::FdKlugeExtOUSpreadEngine(
const boost::shared_ptr<KlugeExtOUProcess>& klugeOUProcess,
const boost::shared_ptr<YieldTermStructure>& rTS,
Size tGrid, Size xGrid, Size yGrid, Size uGrid,
const boost::shared_ptr<GasShape>& gasShape,
const boost::shared_ptr<PowerShape>& powerShape,
const FdmSchemeDesc& schemeDesc)
: klugeOUProcess_(klugeOUProcess),
rTS_ (rTS),
tGrid_(tGrid),
xGrid_(xGrid),
yGrid_(yGrid),
uGrid_(uGrid),
gasShape_(gasShape),
powerShape_(powerShape),
schemeDesc_(schemeDesc) {
}
void FdKlugeExtOUSpreadEngine::calculate() const {
// 1. Mesher
const Time maturity
= rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
arguments_.exercise->lastDate());
const boost::shared_ptr<ExtOUWithJumpsProcess> klugeProcess
= klugeOUProcess_->getKlugeProcess();
const boost::shared_ptr<StochasticProcess1D> ouProcess
= klugeProcess->getExtendedOrnsteinUhlenbeckProcess();
const boost::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
const boost::shared_ptr<Fdm1dMesher> yMesher(
new ExponentialJump1dMesher(yGrid_,
klugeProcess->beta(),
klugeProcess->jumpIntensity(),
klugeProcess->eta()));
const boost::shared_ptr<Fdm1dMesher> uMesher(
new FdmSimpleProcess1dMesher(uGrid_,
klugeOUProcess_->getExtOUProcess(),
maturity));
const boost::shared_ptr<FdmMesher> mesher(
new FdmMesherComposite(xMesher, yMesher, uMesher));
// 2. Calculator
boost::shared_ptr<BasketPayoff> basketPayoff =
boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
QL_REQUIRE(basketPayoff," basket payoff expected");
const boost::shared_ptr<Payoff> zeroStrikeCall(
new PlainVanillaPayoff(Option::Call, 0.0));
const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(
new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,
mesher, gasShape_, 2));
const boost::shared_ptr<FdmInnerValueCalculator> powerPrice(
new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmSpreadPayoffInnerValue(basketPayoff, powerPrice, gasPrice));
// 3. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator,
rTS_->referenceDate(), rTS_->dayCounter());
// 4. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 5. set-up solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity, tGrid_, 0 };
const boost::shared_ptr<FdmKlugeExtOUSolver<3> > solver(
new FdmKlugeExtOUSolver<3>(
Handle<KlugeExtOUProcess>(klugeOUProcess_),
rTS_, solverDesc, schemeDesc_));
std::vector<Real> x(3);
x[0] = klugeOUProcess_->initialValues()[0];
x[1] = klugeOUProcess_->initialValues()[1];
x[2] = klugeOUProcess_->initialValues()[2];
results_.value = solver->valueAt(x);
}
}
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