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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 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 fdbatesvanillaengine.cpp
\brief Partial Integro Finite-Differences Bates vanilla option engine
*/
#include <ql/processes/batesprocess.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
namespace QuantLib {
FdBatesVanillaEngine::FdBatesVanillaEngine(
const ext::shared_ptr<BatesModel>& model,
Size tGrid, Size xGrid,
Size vGrid, Size dampingSteps,
const FdmSchemeDesc& schemeDesc)
: GenericModelEngine<BatesModel,
VanillaOption::arguments,
VanillaOption::results>(model),
tGrid_(tGrid), xGrid_(xGrid),
vGrid_(vGrid), dampingSteps_(dampingSteps),
schemeDesc_(schemeDesc) {}
FdBatesVanillaEngine::FdBatesVanillaEngine(
const ext::shared_ptr<BatesModel>& model,
DividendSchedule dividends,
Size tGrid, Size xGrid,
Size vGrid, Size dampingSteps,
const FdmSchemeDesc& schemeDesc)
: GenericModelEngine<BatesModel,
VanillaOption::arguments,
VanillaOption::results>(model),
dividends_(std::move(dividends)),
tGrid_(tGrid), xGrid_(xGrid),
vGrid_(vGrid), dampingSteps_(dampingSteps),
schemeDesc_(schemeDesc) {}
void FdBatesVanillaEngine::calculate() const {
FdHestonVanillaEngine helperEngine(model_.currentLink(),
dividends_,
tGrid_, xGrid_, vGrid_,
dampingSteps_, schemeDesc_);
*dynamic_cast<VanillaOption::arguments*>(
helperEngine.getArguments()) = arguments_;
FdmSolverDesc solverDesc = helperEngine.getSolverDesc(2.0);
const ext::shared_ptr<BatesProcess> process =
ext::dynamic_pointer_cast<BatesProcess>(model_->process());
ext::shared_ptr<FdmBatesSolver> solver(
new FdmBatesSolver(Handle<BatesProcess>(process),
solverDesc, schemeDesc_));
const Real v0 = process->v0();
const Real spot = process->s0()->value();
results_.value = solver->valueAt(spot, v0);
results_.delta = solver->deltaAt(spot, v0);
results_.gamma = solver->gammaAt(spot, v0);
results_.theta = solver->thetaAt(spot, v0);
}
}
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