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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Joseph Wang
Copyright (C) 2007, 2009 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 fdmultiperiodengine.hpp
\brief base engine for options with events happening at specific times
*/
#ifndef quantlib_fd_multi_period_engine_hpp
#define quantlib_fd_multi_period_engine_hpp
#include <ql/pricingengines/vanilla/fdvanillaengine.hpp>
#include <ql/instruments/oneassetoption.hpp>
#include <ql/methods/finitedifferences/fdtypedefs.hpp>
#include <ql/event.hpp>
#include <ql/exercise.hpp>
namespace QuantLib {
template <template <class> class Scheme = CrankNicolson>
class FDMultiPeriodEngine : public FDVanillaEngine {
protected:
typedef FiniteDifferenceModel<Scheme<TridiagonalOperator> > model_type;
FDMultiPeriodEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps = 100, Size gridPoints = 100,
bool timeDependent = false);
mutable std::vector<boost::shared_ptr<Event> > events_;
mutable std::vector<Time> stoppingTimes_;
Size timeStepPerPeriod_;
mutable SampledCurve prices_;
virtual void setupArguments(
const PricingEngine::arguments* args,
const std::vector<boost::shared_ptr<Event> >& schedule) const {
FDVanillaEngine::setupArguments(args);
events_ = schedule;
stoppingTimes_.clear();
Size n = schedule.size();
stoppingTimes_.reserve(n);
for (Size i=0; i<n; ++i)
stoppingTimes_.push_back(process_->time(events_[i]->date()));
}
virtual void setupArguments(const PricingEngine::arguments* a) const {
FDVanillaEngine::setupArguments(a);
const OneAssetOption::arguments *args =
dynamic_cast<const OneAssetOption::arguments*>(a);
QL_REQUIRE(args, "incorrect argument type");
events_.clear();
Size n = args->exercise->dates().size();
stoppingTimes_.resize(n);
for (Size i=0; i<n; ++i)
stoppingTimes_[i] =
process_->time(args->exercise->date(i));
}
virtual void calculate(PricingEngine::results*) const;
mutable boost::shared_ptr<StandardStepCondition > stepCondition_;
mutable boost::shared_ptr<model_type> model_;
virtual void executeIntermediateStep(Size step) const = 0;
virtual void initializeStepCondition() const;
virtual void initializeModel() const;
Time getDividendTime(Size i) const {
return stoppingTimes_[i];
}
};
// template definitions
template <template <class> class Scheme>
FDMultiPeriodEngine<Scheme>::FDMultiPeriodEngine(
const boost::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size timeSteps, Size gridPoints, bool timeDependent)
: FDVanillaEngine(process, timeSteps, gridPoints, timeDependent),
timeStepPerPeriod_(timeSteps) {}
template <template <class> class Scheme>
void FDMultiPeriodEngine<Scheme>::calculate(
PricingEngine::results* r) const {
OneAssetOption::results *results =
dynamic_cast<OneAssetOption::results *>(r);
QL_REQUIRE(results, "incorrect argument type");
Time beginDate, endDate;
Size dateNumber = stoppingTimes_.size();
bool lastDateIsResTime = false;
Integer firstIndex = -1;
Integer lastIndex = static_cast<Integer>(dateNumber) - 1;
bool firstDateIsZero = false;
Time firstNonZeroDate = getResidualTime();
Real dateTolerance = 1e-6;
if (dateNumber > 0) {
QL_REQUIRE(getDividendTime(0) >= 0,
"first date (" << getDividendTime(0)
<< ") cannot be negative");
if(getDividendTime(0) < getResidualTime() * dateTolerance ){
firstDateIsZero = true;
firstIndex = 0;
if(dateNumber >= 2)
firstNonZeroDate = getDividendTime(1);
}
if (std::fabs(getDividendTime(lastIndex) - getResidualTime())
< dateTolerance) {
lastDateIsResTime = true;
lastIndex = Integer(dateNumber) - 2;
}
if (!firstDateIsZero)
firstNonZeroDate = getDividendTime(0);
if (dateNumber >= 2) {
for (Size j = 1; j < dateNumber; j++)
QL_REQUIRE(getDividendTime(j-1) < getDividendTime(j),
"dates must be in increasing order: "
<< getDividendTime(j-1)
<< " is not strictly smaller than "
<< getDividendTime(j));
}
}
Time dt = getResidualTime()/(timeStepPerPeriod_*(dateNumber+1));
// Ensure that dt is always smaller than the first non-zero date
if (firstNonZeroDate <= dt)
dt = firstNonZeroDate/2.0;
setGridLimits();
initializeInitialCondition();
initializeOperator();
initializeBoundaryConditions();
initializeModel();
initializeStepCondition();
prices_ = intrinsicValues_;
if(lastDateIsResTime)
executeIntermediateStep(dateNumber - 1);
Integer j = lastIndex;
do {
if (j == Integer(dateNumber) - 1)
beginDate = getResidualTime();
else
beginDate = getDividendTime(j+1);
if (j >= 0)
endDate = getDividendTime(j);
else
endDate = dt;
model_->rollback(prices_.values(),
beginDate, endDate,
timeStepPerPeriod_, *stepCondition_);
if (j >= 0)
executeIntermediateStep(j);
} while (--j >= firstIndex);
model_->rollback(prices_.values(), dt, 0, 1, *stepCondition_);
if(firstDateIsZero)
executeIntermediateStep(0);
results->value = prices_.valueAtCenter();
results->delta = prices_.firstDerivativeAtCenter();
results->gamma = prices_.secondDerivativeAtCenter();
results->additionalResults["priceCurve"] = prices_;
}
template <template <class> class Scheme>
void FDMultiPeriodEngine<Scheme>::initializeStepCondition() const{
stepCondition_ = boost::shared_ptr<StandardStepCondition>(
new NullCondition<Array>());
}
template <template <class> class Scheme>
void FDMultiPeriodEngine<Scheme>::initializeModel() const{
model_ = boost::shared_ptr<model_type>(
new model_type(finiteDifferenceOperator_,BCs_));
}
}
#endif
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