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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano
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.
*/
/*! \file forwardperformanceengine.hpp
\brief Forward (strike-resetting) performance vanilla-option engine
*/
#ifndef quantlib_forward_performance_engine_hpp
#define quantlib_forward_performance_engine_hpp
#include <ql/pricingengines/forward/forwardengine.hpp>
namespace QuantLib {
//! %Forward performance engine for vanilla options
/*! \ingroup forwardengines
\test
- the correctness of the returned value is tested by
reproducing results available in literature.
- the correctness of the returned greeks is tested by
reproducing numerical derivatives.
*/
template <class Engine>
class ForwardPerformanceVanillaEngine
: public ForwardVanillaEngine<Engine> {
public:
ForwardPerformanceVanillaEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>&);
void calculate() const;
protected:
void getOriginalResults() const;
};
// template definitions
template <class Engine>
ForwardPerformanceVanillaEngine<Engine>::ForwardPerformanceVanillaEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process)
: ForwardVanillaEngine<Engine>(process) {}
template <class Engine>
void ForwardPerformanceVanillaEngine<Engine>::calculate() const {
this->setup();
this->originalEngine_->calculate();
getOriginalResults();
}
template <class Engine>
void ForwardPerformanceVanillaEngine<Engine>::getOriginalResults() const {
DayCounter rfdc = this->process_->riskFreeRate()->dayCounter();
Time resetTime = rfdc.yearFraction(
this->process_->riskFreeRate()->referenceDate(),
this->arguments_.resetDate);
DiscountFactor discR = this->process_->riskFreeRate()->discount(
this->arguments_.resetDate);
// it's a performance option
discR /= this->process_->stateVariable()->value();
Real temp = this->originalResults_->value;
this->results_.value = discR * temp;
this->results_.delta = 0.0;
this->results_.gamma = 0.0;
this->results_.theta = this->process_->riskFreeRate()->
zeroRate(this->arguments_.resetDate, rfdc, Continuous, NoFrequency)
* this->results_.value;
this->results_.vega = discR * this->originalResults_->vega;
this->results_.rho = - resetTime * this->results_.value +
discR * this->originalResults_->rho;
this->results_.dividendRho = discR * this->originalResults_->dividendRho;
}
}
#endif
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