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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 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/analyticeuropeanengine.hpp>
#include <utility>
namespace QuantLib {
AnalyticEuropeanEngine::AnalyticEuropeanEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process)
: process_(std::move(process)) {
registerWith(process_);
}
AnalyticEuropeanEngine::AnalyticEuropeanEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process,
Handle<YieldTermStructure> discountCurve)
: process_(std::move(process)), discountCurve_(std::move(discountCurve)) {
registerWith(process_);
registerWith(discountCurve_);
}
void AnalyticEuropeanEngine::calculate() const {
// if the discount curve is not specified, we default to the
// risk free rate curve embedded within the GBM process
ext::shared_ptr<YieldTermStructure> discountPtr =
discountCurve_.empty() ?
process_->riskFreeRate().currentLink() :
discountCurve_.currentLink();
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");
Real variance =
process_->blackVolatility()->blackVariance(
arguments_.exercise->lastDate(),
payoff->strike());
DiscountFactor dividendDiscount =
process_->dividendYield()->discount(
arguments_.exercise->lastDate());
DiscountFactor df = discountPtr->discount(arguments_.exercise->lastDate());
DiscountFactor riskFreeDiscountForFwdEstimation =
process_->riskFreeRate()->discount(arguments_.exercise->lastDate());
Real spot = process_->stateVariable()->value();
QL_REQUIRE(spot > 0.0, "negative or null underlying given");
Real forwardPrice = spot * dividendDiscount / riskFreeDiscountForFwdEstimation;
BlackCalculator black(payoff, forwardPrice, std::sqrt(variance),df);
results_.value = black.value();
results_.delta = black.delta(spot);
results_.deltaForward = black.deltaForward();
results_.elasticity = black.elasticity(spot);
results_.gamma = black.gamma(spot);
DayCounter rfdc = discountPtr->dayCounter();
DayCounter divdc = process_->dividendYield()->dayCounter();
DayCounter voldc = process_->blackVolatility()->dayCounter();
Time t = rfdc.yearFraction(process_->riskFreeRate()->referenceDate(),
arguments_.exercise->lastDate());
results_.rho = black.rho(t);
t = divdc.yearFraction(process_->dividendYield()->referenceDate(),
arguments_.exercise->lastDate());
results_.dividendRho = black.dividendRho(t);
t = voldc.yearFraction(process_->blackVolatility()->referenceDate(),
arguments_.exercise->lastDate());
results_.vega = black.vega(t);
try {
results_.theta = black.theta(spot, t);
results_.thetaPerDay =
black.thetaPerDay(spot, t);
} catch (Error&) {
results_.theta = Null<Real>();
results_.thetaPerDay = Null<Real>();
}
results_.strikeSensitivity = black.strikeSensitivity();
results_.itmCashProbability = black.itmCashProbability();
Real tte = process_->blackVolatility()->timeFromReference(arguments_.exercise->lastDate());
results_.additionalResults["spot"] = spot;
results_.additionalResults["dividendDiscount"] = dividendDiscount;
results_.additionalResults["riskFreeDiscount"] = riskFreeDiscountForFwdEstimation;
results_.additionalResults["forward"] = forwardPrice;
results_.additionalResults["strike"] = payoff->strike();
results_.additionalResults["volatility"] = Real(std::sqrt(variance / tte));
results_.additionalResults["timeToExpiry"] = tte;
}
}
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