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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Adrian O' Neill
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/experimental/variancegamma/fftvanillaengine.hpp>
#include <ql/exercise.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <complex>
namespace QuantLib {
FFTVanillaEngine::FFTVanillaEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, Real logStrikeSpacing)
: FFTEngine(process, logStrikeSpacing)
{
}
std::unique_ptr<FFTEngine> FFTVanillaEngine::clone() const
{
ext::shared_ptr<GeneralizedBlackScholesProcess> process =
ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_);
return std::unique_ptr<FFTEngine>(new FFTVanillaEngine(process, lambda_));
}
void FFTVanillaEngine::precalculateExpiry(Date d)
{
ext::shared_ptr<GeneralizedBlackScholesProcess> process =
ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_);
dividendDiscount_ =
process->dividendYield()->discount(d);
riskFreeDiscount_ =
process->riskFreeRate()->discount(d);
DayCounter rfdc = process->riskFreeRate()->dayCounter();
t_ = rfdc.yearFraction(process->riskFreeRate()->referenceDate(), d);
ext::shared_ptr<BlackConstantVol> constVol = ext::dynamic_pointer_cast<BlackConstantVol>
(*(process->blackVolatility()));
QL_REQUIRE(constVol, "Constant volatility required");
Real vol = constVol->blackVol(0.0, 0.0);
var_ = vol*vol;
}
std::complex<Real> FFTVanillaEngine::complexFourierTransform(std::complex<Real> u) const
{
std::complex<Real> i1(0, 1);
Real s = process_->x0();
std::complex<Real> phi = std::exp(i1 * u * (std::log(s) - (var_ * t_) / 2.0)
- (var_ * u * u * t_) / 2.0);
phi = phi * std::pow(dividendDiscount_/ riskFreeDiscount_, i1 * u);
return phi;
}
Real FFTVanillaEngine::discountFactor(Date d) const
{
ext::shared_ptr<GeneralizedBlackScholesProcess> process =
ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_);
return process->riskFreeRate()->discount(d);
}
Real FFTVanillaEngine::dividendYield(Date d) const
{
ext::shared_ptr<GeneralizedBlackScholesProcess> process =
ext::dynamic_pointer_cast<GeneralizedBlackScholesProcess>(process_);
return process->dividendYield()->discount(d);
}
}
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