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
|
/* -*- 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.
*/
/*! \file vectorbsmprocessextractor.cpp
*/
#include <ql/math/functional.hpp>
#include <ql/math/comparison.hpp>
#include <ql/pricingengines/basket/vectorbsmprocessextractor.hpp>
namespace QuantLib::detail {
VectorBsmProcessExtractor::VectorBsmProcessExtractor(
std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > p)
: processes_(std::move(p)) {
}
Array VectorBsmProcessExtractor::extractProcesses(
const std::function<Real(
const ext::shared_ptr<GeneralizedBlackScholesProcess>&)>& f) const {
Array x(processes_.size());
std::transform(processes_.begin(), processes_.end(), x.begin(), f);
return x;
}
DiscountFactor VectorBsmProcessExtractor::getInterestRateDf(
const Date& maturityDate) const {
const Array dr = extractProcesses(
[maturityDate](const auto& p) -> DiscountFactor {
return p->riskFreeRate()->discount(maturityDate);
}
);
QL_REQUIRE(
std::equal(
dr.begin()+1, dr.end(), dr.begin(),
[](Real a, Real b) -> bool { return close_enough(a, b);}
),
"interest rates need to be the same for all underlyings"
);
return dr[0];
}
Array VectorBsmProcessExtractor::getSpot() const {
return extractProcesses([](const auto& p) -> Real { return p->x0(); });
}
Array VectorBsmProcessExtractor::getDividendYieldDf(
const Date& maturityDate) const {
return extractProcesses(
[maturityDate](const auto& p) -> DiscountFactor {
return p->dividendYield()->discount(maturityDate);
}
);
}
Array VectorBsmProcessExtractor::getBlackVariance(
const Date& maturityDate) const {
return extractProcesses(
[maturityDate](const auto& p) -> Volatility {
return p->blackVolatility()->blackVariance(maturityDate, p->x0());
}
);
}
Array VectorBsmProcessExtractor::getBlackStdDev(
const Date& maturityDate) const {
return extractProcesses(
[maturityDate](const auto& p) -> Volatility {
const Time maturity = p->blackVolatility()->timeFromReference(maturityDate);
return p->blackVolatility()->blackVol(maturityDate, p->x0())*std::sqrt(maturity);
}
);
}
}
|
