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/*
Copyright (C) 2023 Nathaniel Brough
Copyright (C) 2003, 2004 Ferdinando Ametrano
Copyright (C) 2005, 2007 StatPro Italia srl
Copyright (C) 2005 Joseph Wang
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
<https://www.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/any.hpp>
#include <ql/exercise.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <ql/math/distributions/normaldistribution.hpp>
#include <ql/math/functional.hpp>
#include <ql/math/integrals/gausslobattointegral.hpp>
#include <ql/math/integrals/integral.hpp>
#include <ql/math/randomnumbers/rngtraits.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
#include <ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp>
#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesshoutengine.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
#include <ql/pricingengines/vanilla/juquadraticengine.hpp>
#include <ql/pricingengines/vanilla/qdfpamericanengine.hpp>
#include <ql/pricingengines/vanilla/qdplusamericanengine.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/daycounters/actual360.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <fuzzer/FuzzedDataProvider.h>
#include <limits>
#include <map>
using namespace QuantLib;
namespace {
struct AmericanOptionData {
Option::Type type;
Real strike;
Real s; // spot
Rate q; // dividend
Rate r; // risk-free rate
Time t; // time to maturity
Volatility v; // volatility
};
}
AmericanOptionData fuzzedAmericanOptionData(FuzzedDataProvider& fdp) {
return AmericanOptionData{
.type = fdp.PickValueInArray({Option::Type::Put, Option::Type::Call}),
.strike = fdp.ConsumeFloatingPoint<Real>(),
.s = fdp.ConsumeFloatingPointInRange<Real>(0.0, std::numeric_limits<Real>::max()),
.q = fdp.ConsumeProbability<Rate>(),
.r = fdp.ConsumeProbability<Rate>(),
.t = fdp.ConsumeFloatingPointInRange<Time>(0.0, std::numeric_limits<Real>::max()),
.v = fdp.ConsumeFloatingPointInRange<Volatility>(0.0, 10.0),
};
}
extern "C" int LLVMFuzzerTestOneInput(const uint8_t* data, size_t size) {
FuzzedDataProvider fdp(data, size);
// Ensure that settings are reset between each fuzzing iteration.
SavedSettings saved_settings;
constexpr size_t kMaxValues = 1024;
auto length = fdp.ConsumeIntegralInRange<size_t>(0, kMaxValues);
std::vector<AmericanOptionData> values;
values.reserve(length);
for (size_t i = 0; i < length; i++) {
values.push_back(fuzzedAmericanOptionData(fdp));
}
Date today(2, March, 2020);
DayCounter dc = Actual360();
ext::shared_ptr<SimpleQuote> spot(new SimpleQuote(0.0));
ext::shared_ptr<SimpleQuote> qRate(new SimpleQuote(0.0));
ext::shared_ptr<YieldTermStructure> qTS =
ext::shared_ptr<YieldTermStructure>(new FlatForward(today, Handle<Quote>(qRate), dc));
ext::shared_ptr<SimpleQuote> rRate(new SimpleQuote(0.0));
ext::shared_ptr<YieldTermStructure> rTS =
ext::shared_ptr<YieldTermStructure>(new FlatForward(today, Handle<Quote>(rRate), dc));
ext::shared_ptr<SimpleQuote> vol(new SimpleQuote(0.0));
ext::shared_ptr<BlackVolTermStructure> volTS = ext::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(today, NullCalendar(), Handle<Quote>(vol), dc));
ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new BlackScholesMertonProcess(
Handle<Quote>(spot), Handle<YieldTermStructure>(qTS), Handle<YieldTermStructure>(rTS),
Handle<BlackVolTermStructure>(volTS)));
ext::shared_ptr<PricingEngine> engine(
new BaroneAdesiWhaleyApproximationEngine(stochProcess));
for (auto& value : values) {
ext::shared_ptr<StrikedTypePayoff> payoff(new PlainVanillaPayoff(value.type, value.strike));
Date exDate = today + Integer(std::lround(365*value.t));
ext::shared_ptr<Exercise> exercise(new AmericanExercise(today, exDate));
spot->setValue(value.s);
qRate->setValue(value.q);
rRate->setValue(value.r);
vol->setValue(value.v);
VanillaOption option(payoff, exercise);
option.setPricingEngine(engine);
(void)option.NPV();
}
return 0;
}
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