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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Neil Firth
Copyright (C) 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.
*/
#include <ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp>
#include <ql/pricingengines/americanpayoffathit.hpp>
#include <ql/pricingengines/americanpayoffatexpiry.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
AnalyticDigitalAmericanEngine::AnalyticDigitalAmericanEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process)
: process_(process) {
registerWith(process_);
}
void AnalyticDigitalAmericanEngine::calculate() const {
boost::shared_ptr<AmericanExercise> ex =
boost::dynamic_pointer_cast<AmericanExercise>(arguments_.exercise);
QL_REQUIRE(ex, "non-American exercise given");
QL_REQUIRE(ex->dates()[0] <=
process_->blackVolatility()->referenceDate(),
"American option with window exercise not handled yet");
boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-striked payoff given");
Real spot = process_->stateVariable()->value();
QL_REQUIRE(spot > 0.0, "negative or null underlying given");
Real variance =
process_->blackVolatility()->blackVariance(ex->lastDate(),
payoff->strike());
Rate dividendDiscount =
process_->dividendYield()->discount(ex->lastDate());
Rate riskFreeDiscount =
process_->riskFreeRate()->discount(ex->lastDate());
if(ex->payoffAtExpiry()) {
AmericanPayoffAtExpiry pricer(spot, riskFreeDiscount,
dividendDiscount, variance, payoff);
results_.value = pricer.value();
} else {
AmericanPayoffAtHit pricer(spot, riskFreeDiscount,
dividendDiscount, variance, payoff);
results_.value = pricer.value();
results_.delta = pricer.delta();
results_.gamma = pricer.gamma();
DayCounter rfdc = process_->riskFreeRate()->dayCounter();
Time t = rfdc.yearFraction(
process_->riskFreeRate()->referenceDate(),
arguments_.exercise->lastDate());
results_.rho = pricer.rho(t);
}
}
}
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