1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Neil Firth
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2007 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
<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/exercise.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/instruments/impliedvolatility.hpp>
#include <ql/pricingengines/barrier/analyticbarrierengine.hpp>
#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>
#include <memory>
namespace QuantLib {
BarrierOption::BarrierOption(
Barrier::Type barrierType,
Real barrier,
Real rebate,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise)
: OneAssetOption(payoff, exercise),
barrierType_(barrierType), barrier_(barrier), rebate_(rebate) {}
void BarrierOption::setupArguments(PricingEngine::arguments* args) const {
OneAssetOption::setupArguments(args);
auto* moreArgs = dynamic_cast<BarrierOption::arguments*>(args);
QL_REQUIRE(moreArgs != nullptr, "wrong argument type");
moreArgs->barrierType = barrierType_;
moreArgs->barrier = barrier_;
moreArgs->rebate = rebate_;
}
Volatility BarrierOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
return impliedVolatility(targetValue, process, DividendSchedule(),
accuracy, maxEvaluations, minVol, maxVol);
}
Volatility BarrierOption::impliedVolatility(
Real targetValue,
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
const DividendSchedule& dividends,
Real accuracy,
Size maxEvaluations,
Volatility minVol,
Volatility maxVol) const {
QL_REQUIRE(!isExpired(), "option expired");
ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);
ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =
detail::ImpliedVolatilityHelper::clone(process, volQuote);
// engines are built-in for the time being
std::unique_ptr<PricingEngine> engine;
switch (exercise_->type()) {
case Exercise::European:
if (dividends.empty())
engine = std::make_unique<AnalyticBarrierEngine>(newProcess);
else
engine = std::make_unique<FdBlackScholesBarrierEngine>(newProcess, dividends);
break;
case Exercise::American:
case Exercise::Bermudan:
QL_FAIL("engine not available for non-European barrier option");
break;
default:
QL_FAIL("unknown exercise type");
}
return detail::ImpliedVolatilityHelper::calculate(*this,
*engine,
*volQuote,
targetValue,
accuracy,
maxEvaluations,
minVol, maxVol);
}
BarrierOption::arguments::arguments()
: barrierType(Barrier::Type(-1)), barrier(Null<Real>()),
rebate(Null<Real>()) {}
void BarrierOption::arguments::validate() const {
OneAssetOption::arguments::validate();
switch (barrierType) {
case Barrier::DownIn:
case Barrier::UpIn:
case Barrier::DownOut:
case Barrier::UpOut:
break;
default:
QL_FAIL("unknown type");
}
QL_REQUIRE(barrier != Null<Real>(), "no barrier given");
QL_REQUIRE(rebate != Null<Real>(), "no rebate given");
}
bool BarrierOption::engine::triggered(Real underlying) const {
switch (arguments_.barrierType) {
case Barrier::DownIn:
case Barrier::DownOut:
return underlying < arguments_.barrier;
case Barrier::UpIn:
case Barrier::UpOut:
return underlying > arguments_.barrier;
default:
QL_FAIL("unknown type");
}
}
}
|
