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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2011 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
<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.
*/
/*! \file fdsimpleextoujumpswingengine.cpp
\brief Finite Differences engine for simple swing options
*/
#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>
#include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>
#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>
#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>
#include <ql/experimental/processes/extouwithjumpsprocess.hpp>
#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
namespace QuantLib {
FdSimpleExtOUJumpSwingEngine::FdSimpleExtOUJumpSwingEngine(
ext::shared_ptr<ExtOUWithJumpsProcess> process,
ext::shared_ptr<YieldTermStructure> rTS,
Size tGrid,
Size xGrid,
Size yGrid,
ext::shared_ptr<Shape> shape,
const FdmSchemeDesc& schemeDesc)
: process_(std::move(process)), rTS_(std::move(rTS)), shape_(std::move(shape)), tGrid_(tGrid),
xGrid_(xGrid), yGrid_(yGrid), schemeDesc_(schemeDesc) {}
void FdSimpleExtOUJumpSwingEngine::calculate() const {
// 1. Exercise
ext::shared_ptr<SwingExercise> swingExercise(
ext::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
QL_REQUIRE(swingExercise, "Swing exercise supported only");
// 2. Mesher
const std::vector<Time> exerciseTimes
= swingExercise->exerciseTimes(rTS_->dayCounter(),
rTS_->referenceDate());
const Time maturity = exerciseTimes.back();
const ext::shared_ptr<StochasticProcess1D> ouProcess(
process_->getExtendedOrnsteinUhlenbeckProcess());
const ext::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
const ext::shared_ptr<Fdm1dMesher> yMesher(
new ExponentialJump1dMesher(yGrid_,
process_->beta(),
process_->jumpIntensity(),
process_->eta()));
const ext::shared_ptr<Fdm1dMesher> exerciseMesher(
new Uniform1dMesher(
0, static_cast<Real>(arguments_.maxExerciseRights),
arguments_.maxExerciseRights+1));
const ext::shared_ptr<FdmMesher> mesher(
new FdmMesherComposite(xMesher, yMesher, exerciseMesher));
// 3. Calculator
ext::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmZeroInnerValue());
// 4. Step conditions
std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;
std::list<std::vector<Time> > stoppingTimes;
// 4.1 Bermudan step conditions
stoppingTimes.push_back(exerciseTimes);
ext::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher, shape_));
stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(
new FdmSimpleSwingCondition(
exerciseTimes, mesher, exerciseCalculator,
2, arguments_.minExerciseRights)));
ext::shared_ptr<FdmStepConditionComposite> conditions(
new FdmStepConditionComposite(stoppingTimes, stepConditions));
// 5. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 6. set-up solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity, tGrid_, 0 };
const ext::shared_ptr<FdmSimple3dExtOUJumpSolver> solver(
new FdmSimple3dExtOUJumpSolver(
Handle<ExtOUWithJumpsProcess>(process_),
rTS_, solverDesc, schemeDesc_));
const Real x = process_->initialValues()[0];
const Real y = process_->initialValues()[1];
results_.value = solver->valueAt(x, y, 0.0);
}
}
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