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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2024 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/exercise.hpp>
#include <ql/pricingengines/basket/spreadblackscholesvanillaengine.hpp>
namespace QuantLib {
SpreadBlackScholesVanillaEngine::SpreadBlackScholesVanillaEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process1,
ext::shared_ptr<GeneralizedBlackScholesProcess> process2,
Real correlation)
: process1_(std::move(process1)),
process2_(std::move(process2)),
rho_(correlation) {
registerWith(process1_);
registerWith(process2_);
}
void SpreadBlackScholesVanillaEngine::calculate() const {
const ext::shared_ptr<EuropeanExercise> exercise =
ext::dynamic_pointer_cast<EuropeanExercise>(arguments_.exercise);
QL_REQUIRE(exercise, "not an European exercise");
const ext::shared_ptr<SpreadBasketPayoff> spreadPayoff =
ext::dynamic_pointer_cast<SpreadBasketPayoff>(arguments_.payoff);
QL_REQUIRE(spreadPayoff," spread payoff expected");
const ext::shared_ptr<PlainVanillaPayoff> payoff =
ext::dynamic_pointer_cast<PlainVanillaPayoff>(
spreadPayoff->basePayoff());
QL_REQUIRE(payoff, "non-plain payoff given");
const Real strike = payoff->strike();
const Option::Type optionType = payoff->optionType();
const Date maturityDate = exercise->lastDate();
const Real f1 = process1_->stateVariable()->value()
/ process1_->riskFreeRate()->discount(maturityDate)
* process1_->dividendYield()->discount(maturityDate);
const Real f2 = process2_->stateVariable()->value()
/ process2_->riskFreeRate()->discount(maturityDate)
* process2_->dividendYield()->discount(maturityDate);
const Real variance1 =
process1_->blackVolatility()->blackVariance(maturityDate, f1);
const Real variance2 =
process2_->blackVolatility()->blackVariance(maturityDate, f2);
const DiscountFactor df =
process1_->riskFreeRate()->discount(exercise->lastDate());
results_.value = calculate(f1, f2, strike, optionType, variance1, variance2, df);
}
}
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