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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/pricingengines/vanilla/batesengine.hpp>
#include <ql/instruments/payoffs.hpp>
namespace QuantLib {
BatesEngine::BatesEngine(const boost::shared_ptr<BatesModel> & model,
Size integrationOrder)
: AnalyticHestonEngine(model, integrationOrder) { }
BatesEngine::BatesEngine(const boost::shared_ptr<BatesModel>& model,
Real relTolerance, Size maxEvaluations)
: AnalyticHestonEngine(model, relTolerance, maxEvaluations) { }
std::complex<Real> BatesEngine::addOnTerm(
Real phi, Time t, Size j) const {
boost::shared_ptr<BatesModel> batesModel =
boost::dynamic_pointer_cast<BatesModel>(*model_);
const Real nu_ = batesModel->nu();
const Real delta2_ = 0.5*batesModel->delta()*batesModel->delta();
const Real lambda_ = batesModel->lambda();
const Real i = (j == 1)? 1.0 : 0.0;
const std::complex<Real> g(i, phi);
//it can throw: to be fixed
return t*lambda_*(std::exp(nu_*g + delta2_*g*g) - 1.0
-g*(std::exp(nu_+delta2_) - 1.0));
}
BatesDetJumpEngine::BatesDetJumpEngine(
const boost::shared_ptr<BatesDetJumpModel>& model,
Size integrationOrder)
: BatesEngine(model, integrationOrder) { }
BatesDetJumpEngine::BatesDetJumpEngine(
const boost::shared_ptr<BatesDetJumpModel>& model,
Real relTolerance, Size maxEvaluations)
: BatesEngine(model, relTolerance, maxEvaluations) { }
std::complex<Real> BatesDetJumpEngine::addOnTerm(
Real phi, Time t, Size j) const {
const std::complex<Real> l =
BatesEngine::addOnTerm(phi, t, j);
boost::shared_ptr<BatesDetJumpModel> batesDetJumpModel =
boost::dynamic_pointer_cast<BatesDetJumpModel>(*model_);
const Real lambda = batesDetJumpModel->lambda();
const Real kappaLambda = batesDetJumpModel->kappaLambda();
const Real thetaLambda = batesDetJumpModel->thetaLambda();
return (kappaLambda*t - 1.0 + std::exp(-kappaLambda*t))
* thetaLambda*l/(kappaLambda*t*lambda)
+ (1.0 - std::exp(-kappaLambda*t))*l/(kappaLambda*t);
}
BatesDoubleExpEngine::BatesDoubleExpEngine(
const boost::shared_ptr<BatesDoubleExpModel> & model,
Size integrationOrder)
: AnalyticHestonEngine(model, integrationOrder) { }
BatesDoubleExpEngine::BatesDoubleExpEngine(
const boost::shared_ptr<BatesDoubleExpModel>& model,
Real relTolerance, Size maxEvaluations)
: AnalyticHestonEngine(model, relTolerance, maxEvaluations) { }
std::complex<Real> BatesDoubleExpEngine::addOnTerm(
Real phi, Time t, Size j) const {
boost::shared_ptr<BatesDoubleExpModel> batesDoubleExpModel =
boost::dynamic_pointer_cast<BatesDoubleExpModel>(*model_);
const Real p_ = batesDoubleExpModel->p();
const Real q_ = 1.0-p_;
const Real nuDown_= batesDoubleExpModel->nuDown();
const Real nuUp_ = batesDoubleExpModel->nuUp();
const Real lambda_= batesDoubleExpModel->lambda();
const Real i = (j == 1)? 1.0 : 0.0;
const std::complex<Real> g(i, phi);
return t*lambda_*(p_/(1.0-g*nuUp_) + q_/(1.0+g*nuDown_) - 1.0
- g*(p_/(1-nuUp_) + q_/(1+nuDown_)-1));
}
BatesDoubleExpDetJumpEngine::BatesDoubleExpDetJumpEngine(
const boost::shared_ptr<BatesDoubleExpDetJumpModel> & model,
Size integrationOrder)
: BatesDoubleExpEngine(model, integrationOrder) { }
BatesDoubleExpDetJumpEngine::BatesDoubleExpDetJumpEngine(
const boost::shared_ptr<BatesDoubleExpDetJumpModel>& model,
Real relTolerance, Size maxEvaluations)
: BatesDoubleExpEngine(model, relTolerance, maxEvaluations) { }
std::complex<Real> BatesDoubleExpDetJumpEngine::addOnTerm(
Real phi, Time t, Size j) const {
const std::complex<Real> l =
BatesDoubleExpEngine::addOnTerm(phi, t, j);
boost::shared_ptr<BatesDoubleExpDetJumpModel> doubleExpDetJumpModel
= boost::dynamic_pointer_cast<BatesDoubleExpDetJumpModel>(*model_);
const Real lambda = doubleExpDetJumpModel->lambda();
const Real kappaLambda = doubleExpDetJumpModel->kappaLambda();
const Real thetaLambda = doubleExpDetJumpModel->thetaLambda();
return (kappaLambda*t - 1.0 + std::exp(-kappaLambda*t))
* thetaLambda*l/(kappaLambda*t*lambda)
+ (1.0 - std::exp(-kappaLambda*t))*l/(kappaLambda*t);
}
}
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