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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2014 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis
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/exotic/analytictwoassetcorrelationengine.hpp>
#include <ql/math/distributions/bivariatenormaldistribution.hpp>
#include <utility>
using std::log;
namespace QuantLib {
AnalyticTwoAssetCorrelationEngine::AnalyticTwoAssetCorrelationEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> p1,
ext::shared_ptr<GeneralizedBlackScholesProcess> p2,
Handle<Quote> correlation)
: p1_(std::move(p1)), p2_(std::move(p2)), correlation_(std::move(correlation)) {
registerWith(p1_);
registerWith(p2_);
registerWith(correlation_);
}
void AnalyticTwoAssetCorrelationEngine::calculate() const {
BivariateCumulativeNormalDistributionDr78 M(correlation_->value());
const ext::shared_ptr<PlainVanillaPayoff> payoff =
ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-plain payoff given");
QL_REQUIRE(payoff->strike()>0.0, "strike must be positive");
ext::shared_ptr<Exercise> exercise = arguments_.exercise;
Real strike = payoff->strike();//X1
Real spot = p1_->x0();
QL_REQUIRE(spot > 0.0, "negative or null underlying given");
Volatility sigma1 =
p1_->blackVolatility()->blackVol(p1_->time(exercise->lastDate()),
payoff->strike());
Volatility sigma2 =
p2_->blackVolatility()->blackVol(p2_->time(exercise->lastDate()),
payoff->strike());
Time T = p2_->time(arguments_.exercise->lastDate());
Real s1=p1_->x0();
Real s2=p2_->x0();
Rate q1= p1_->dividendYield()->zeroRate(T, Continuous, NoFrequency);
Rate q2= p2_->dividendYield()->zeroRate(T, Continuous, NoFrequency);
Rate r=p1_->riskFreeRate()->zeroRate(T, Continuous, NoFrequency);
Rate b1=r-q1;
Rate b2=r-q2;
Real rho = correlation_->value();
Real y1=(log(s1/strike)+(b1-(sigma1*sigma1)/2)*T)/(sigma1*std::sqrt(T));
Real y2=(log(s2/arguments_.X2)+(b2-(sigma2*sigma2)/2)*T)/(sigma2*std::sqrt(T));
switch (payoff->optionType()) {
case Option::Call:
results_.value=s2*std::exp((b2-r)*T)*M(y2+sigma2*std::sqrt(T),y1+rho*sigma2*std::sqrt(T))-arguments_.X2*std::exp(-r*T)*M(y2,y1);
break;
case Option::Put:
results_.value=arguments_.X2*std::exp(-r*T)*M(-y2,-y1)-s2*std::exp((b2-r)*T)*M(-y2-sigma2*std::sqrt(T),-y1-rho*sigma2*std::sqrt(T));
break;
default:
QL_FAIL("unknown option type");
}
}
}
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