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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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.
*/
#include <ql/math/functional.hpp>
#include <ql/pricingengines/basket/kirkengine.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
#include <utility>
namespace QuantLib {
KirkEngine::KirkEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process1,
ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
Real correlation)
: SpreadBlackScholesVanillaEngine(std::move(process1), std::move(process2), correlation) {
}
Real KirkEngine::calculate(
Real f1, Real f2, Real strike, Option::Type optionType,
Real variance1, Real variance2, DiscountFactor df) const {
const Real f = f1/(f2 + strike);
const Real v
= std::sqrt(variance1
+ variance2*squared(f2/(f2+strike))
- 2*rho_*std::sqrt(variance1*variance2)
*(f2/(f2+strike)));
BlackCalculator black(
ext::make_shared<PlainVanillaPayoff>(
optionType,1.0),
f, v, df);
return (f2 + strike)*black.value();
}
}
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