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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
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,
CalibrationHelper::CalibrationErrorType errorType)
: CalibrationHelper(volatility, riskFreeRate, errorType),
dividendYield_(dividendYield),
exerciseDate_(calendar.advance(riskFreeRate->referenceDate(),
maturity)),
tau_(riskFreeRate->dayCounter().yearFraction(
riskFreeRate->referenceDate(), exerciseDate_)),
s0_(s0), strikePrice_(strikePrice) {
boost::shared_ptr<StrikedTypePayoff> payoff(
new PlainVanillaPayoff(Option::Call, strikePrice_));
boost::shared_ptr<Exercise> exercise(
new EuropeanExercise(exerciseDate_));
option_ = boost::shared_ptr<VanillaOption>(
new VanillaOption(payoff, exercise));
marketValue_ = blackPrice(volatility->value());
}
Real HestonModelHelper::modelValue() const {
option_->setPricingEngine(engine_);
return option_->NPV();
}
Real HestonModelHelper::blackPrice(Real sigma) const {
const Real volatility = sigma*std::sqrt(maturity());
return blackFormula(Option::Call,
strikePrice_*termStructure_->discount(tau_),
s0_*dividendYield_->discount(tau_),
volatility);
}
}
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