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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Andreas Gaida
Copyright (C) 2008, 2009 Ralph Schreyer
Copyright (C) 2008, 2009 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/processes/blackscholesprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
namespace QuantLib {
FdBlackScholesVanillaEngine::FdBlackScholesVanillaEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size tGrid, Size xGrid, Size dampingSteps,
const FdmSchemeDesc& schemeDesc,
bool localVol, Real illegalLocalVolOverwrite)
: process_(process),
tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
schemeDesc_(schemeDesc),
localVol_(localVol),
illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {
registerWith(process_);
}
void FdBlackScholesVanillaEngine::calculate() const {
// 1. Mesher
const boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
const Time maturity = process_->time(arguments_.exercise->lastDate());
const boost::shared_ptr<Fdm1dMesher> equityMesher(
new FdmBlackScholesMesher(
xGrid_, process_, maturity, payoff->strike(),
Null<Real>(), Null<Real>(), 0.0001, 1.5,
std::pair<Real, Real>(payoff->strike(), 0.1)));
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(equityMesher));
// 2. Calculator
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmLogInnerValue(payoff, mesher, 0));
// 3. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
arguments_.cashFlow, arguments_.exercise,
mesher, calculator,
process_->riskFreeRate()->referenceDate(),
process_->riskFreeRate()->dayCounter());
// 4. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 5. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,
maturity, tGrid_, dampingSteps_ };
const boost::shared_ptr<FdmBlackScholesSolver> solver(
new FdmBlackScholesSolver(
Handle<GeneralizedBlackScholesProcess>(process_),
payoff->strike(), solverDesc, schemeDesc_,
localVol_, illegalLocalVolOverwrite_));
const Real spot = process_->x0();
results_.value = solver->valueAt(spot);
results_.delta = solver->deltaAt(spot);
results_.gamma = solver->gammaAt(spot);
results_.theta = solver->thetaAt(spot);
}
}
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