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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 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/pricingengines/blackcalculator.hpp>
#include <ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp>
#include <utility>
namespace QuantLib {
AnalyticDividendEuropeanEngine::AnalyticDividendEuropeanEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process,
DividendSchedule dividends)
: process_(std::move(process)), dividends_(std::move(dividends)) {
registerWith(process_);
}
void AnalyticDividendEuropeanEngine::calculate() const {
QL_REQUIRE(arguments_.exercise->type() == Exercise::European,
"not an European option");
ext::shared_ptr<StrikedTypePayoff> payoff =
ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-striked payoff given");
Date settlementDate = process_->riskFreeRate()->referenceDate();
Real riskless = 0.0;
Size i;
for (i=0; i<dividends_.size(); i++) {
const Date cashFlowDate = dividends_[i]->date();
if ( cashFlowDate >= settlementDate
&& cashFlowDate <= arguments_.exercise->lastDate()) {
riskless += dividends_[i]->amount() *
process_->riskFreeRate()->discount(cashFlowDate) /
process_->dividendYield()->discount(cashFlowDate);
}
}
Real spot = process_->stateVariable()->value() - riskless;
QL_REQUIRE(spot > 0.0,
"negative or null underlying after subtracting dividends");
DiscountFactor dividendDiscount =
process_->dividendYield()->discount(
arguments_.exercise->lastDate());
DiscountFactor riskFreeDiscount =
process_->riskFreeRate()->discount(arguments_.exercise->lastDate());
Real forwardPrice = spot * dividendDiscount / riskFreeDiscount;
Real variance =
process_->blackVolatility()->blackVariance(
arguments_.exercise->lastDate(),
payoff->strike());
BlackCalculator black(payoff, forwardPrice, std::sqrt(variance),
riskFreeDiscount);
results_.value = black.value();
results_.delta = black.delta(spot);
results_.gamma = black.gamma(spot);
DayCounter rfdc = process_->riskFreeRate()->dayCounter();
DayCounter dydc = process_->dividendYield()->dayCounter();
DayCounter voldc = process_->blackVolatility()->dayCounter();
Time t = voldc.yearFraction(
process_->blackVolatility()->referenceDate(),
arguments_.exercise->lastDate());
results_.vega = black.vega(t);
Real delta_theta = 0.0, delta_rho = 0.0;
for (i = 0; i < dividends_.size(); i++) {
Date d = dividends_[i]->date();
if ( d >= settlementDate
&& d <= arguments_.exercise->lastDate()) {
delta_theta -= dividends_[i]->amount() *
( process_->riskFreeRate()->zeroRate(d,rfdc,Continuous,Annual).rate()
- process_->dividendYield()->zeroRate(d,dydc,Continuous,Annual).rate()) *
process_->riskFreeRate()->discount(d) /
process_->dividendYield()->discount(d);
Time t = process_->time(d);
delta_rho += dividends_[i]->amount() * t *
process_->riskFreeRate()->discount(t) /
process_->dividendYield()->discount(t);
}
}
t = process_->time(arguments_.exercise->lastDate());
try {
results_.theta = black.theta(spot, t) +
delta_theta * black.delta(spot);
} catch (Error&) {
results_.theta = Null<Real>();
}
results_.rho = black.rho(t) +
delta_rho * black.delta(spot);
}
}
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