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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 fdsimplebsswingengine.cpp
\brief Finite Differences Black-Scholes engine for simple swing options
*/
#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>
#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>
#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>
#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>
#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
namespace QuantLib {
FdSimpleBSSwingEngine::FdSimpleBSSwingEngine(
ext::shared_ptr<GeneralizedBlackScholesProcess> process,
Size tGrid,
Size xGrid,
const FdmSchemeDesc& schemeDesc)
: process_(std::move(process)), tGrid_(tGrid), xGrid_(xGrid), schemeDesc_(schemeDesc) {}
void FdSimpleBSSwingEngine::calculate() const {
QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
"Bermudan exercise supported only");
// 1. Mesher
const ext::shared_ptr<StrikedTypePayoff> payoff =
ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "Strike type payoff expected");
const Time maturity = process_->time(arguments_.exercise->lastDate());
const ext::shared_ptr<Fdm1dMesher> equityMesher(
new FdmBlackScholesMesher(xGrid_, process_,
maturity, payoff->strike()));
const ext::shared_ptr<Fdm1dMesher> exerciseMesher(
new Uniform1dMesher(
0, static_cast<Real>(arguments_.maxExerciseRights),
arguments_.maxExerciseRights+1));
const ext::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(equityMesher, exerciseMesher));
// 2. Calculator
ext::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmZeroInnerValue());
// 3. Step conditions
std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;
std::list<std::vector<Time> > stoppingTimes;
// 3.1 Bermudan step conditions
std::vector<Time> exerciseTimes;
for (auto i : arguments_.exercise->dates()) {
Time t = process_->time(i);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
exerciseTimes.push_back(t);
}
stoppingTimes.push_back(exerciseTimes);
ext::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
new FdmLogInnerValue(payoff, mesher, 0));
stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(
new FdmSimpleSwingCondition(
exerciseTimes, mesher, exerciseCalculator,
1, arguments_.minExerciseRights)));
ext::shared_ptr<FdmStepConditionComposite> conditions(
new FdmStepConditionComposite(stoppingTimes, stepConditions));
// 4. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 5. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity, tGrid_, 0 };
ext::shared_ptr<FdmSimple2dBSSolver> solver(
new FdmSimple2dBSSolver(
Handle<GeneralizedBlackScholesProcess>(process_),
payoff->strike(), solverDesc, schemeDesc_));
const Real spot = process_->x0();
results_.value = solver->valueAt(spot, 1);
results_.delta = solver->deltaAt(spot, 1, spot*0.01);
results_.gamma = solver->gammaAt(spot, 1, spot*0.01);
results_.theta = solver->thetaAt(spot, 1);
}
}
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