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
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2021 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 fdblackscholesshoutengine.cpp
*/
#include <ql/exercise.hpp>
#include <ql/methods/finitedifferences/utilities/escroweddividendadjustment.hpp>
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp>
#include <ql/pricingengines/vanilla/fdblackscholesshoutengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
FdBlackScholesShoutEngine::FdBlackScholesShoutEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process,
Size tGrid,
Size xGrid,
Size dampingSteps,
const FdmSchemeDesc& schemeDesc)
: process_(std::move(process)),
tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
schemeDesc_(schemeDesc) {
registerWith(process_);
}
FdBlackScholesShoutEngine::FdBlackScholesShoutEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process,
DividendSchedule dividends,
Size tGrid,
Size xGrid,
Size dampingSteps,
const FdmSchemeDesc& schemeDesc)
: process_(std::move(process)), dividends_(std::move(dividends)),
tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),
schemeDesc_(schemeDesc) {
registerWith(process_);
}
void FdBlackScholesShoutEngine::calculate() const {
const Date exerciseDate = arguments_.exercise->lastDate();
const Time maturity = process_->time(exerciseDate);
const Date settlementDate = process_->riskFreeRate()->referenceDate();
const auto escrowedDividendAdj =
ext::make_shared<EscrowedDividendAdjustment>(
dividends_,
process_->riskFreeRate(),
process_->dividendYield(),
[&](Date d){ return process_->time(d); },
maturity);
const Real divAdj = escrowedDividendAdj
->dividendAdjustment(process_->time(settlementDate));
QL_REQUIRE(process_->x0() + divAdj > 0.0,
"spot minus dividends becomes negative");
const auto payoff =
ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non plain vanilla payoff given");
const DividendSchedule emptyDividendSchedule;
const auto mesher = ext::make_shared<FdmMesherComposite>(
ext::make_shared<FdmBlackScholesMesher>(
xGrid_, process_, maturity, payoff->strike(),
Null<Real>(), Null<Real>(), 0.0001, 1.5,
std::pair<Real, Real>(payoff->strike(), 0.1),
emptyDividendSchedule,
ext::shared_ptr<FdmQuantoHelper>(),
divAdj));
const auto innerValuecalculator =
ext::make_shared<FdmShoutLogInnerValueCalculator>(
process_->blackVolatility(),
escrowedDividendAdj, maturity, payoff, mesher, 0);
DividendSchedule zeroDividendSchedule = DividendSchedule();
for (const auto& cf: dividends_)
zeroDividendSchedule.push_back(
ext::make_shared<FixedDividend>(0.0, cf->date()));
const auto conditions =
FdmStepConditionComposite::vanillaComposite(
zeroDividendSchedule,
arguments_.exercise, mesher,
innerValuecalculator,
process_->riskFreeRate()->referenceDate(),
process_->riskFreeRate()->dayCounter());
const FdmSolverDesc solverDesc = {
mesher, FdmBoundaryConditionSet(),
conditions, innerValuecalculator,
maturity, tGrid_, dampingSteps_ };
const auto solver =
ext::make_shared<FdmBlackScholesSolver>(
Handle<GeneralizedBlackScholesProcess>(process_),
payoff->strike(), solverDesc, schemeDesc_);
const Real spot = process_->x0() + divAdj;
results_.value = solver->valueAt(spot);
results_.delta = solver->deltaAt(spot);
results_.gamma = solver->gammaAt(spot);
results_.theta = solver->thetaAt(spot);
}
}
|
