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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2024 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 singlefactorbsmbasketengine.hpp
\brief Basket engine where all underlyings are driven by one stochastic factor
*/
#ifndef quantlib_single_factor_bsm_basket_engine_hpp
#define quantlib_single_factor_bsm_basket_engine_hpp
#include <ql/pricingengine.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
namespace QuantLib {
//! Pricing engine for baskets where all underlyings are driven by one stochastic factor
/*! Jaehyuk Choi,
Sum of all Black-Scholes-Merton Models:
An efficient Pricing Method for Spread, Basket and Asian Options,
https://arxiv.org/pdf/1805.03172
\ingroup basketengines
*/
class SingleFactorBsmBasketEngine : public BasketOption::engine {
public:
explicit SingleFactorBsmBasketEngine(
std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > p,
Real xTol = 1e4*QL_EPSILON);
void calculate() const override;
private:
const Real xTol_;
const Size n_;
const std::vector<ext::shared_ptr<GeneralizedBlackScholesProcess> > processes_;
};
namespace detail {
class SumExponentialsRootSolver {
public:
enum Strategy {Ridder, Newton, Brent, Halley};
SumExponentialsRootSolver(Array a, Array sig, Real K);
Real operator()(Real x) const;
Real derivative(Real x) const;
Real secondDerivative(Real x) const;
Real getRoot(Real xTol = 1e6*QL_EPSILON, Strategy strategy = Brent) const;
Size getFCtr() const;
Size getDerivativeCtr() const;
Size getSecondDerivativeCtr() const;
private:
const Array a_, sig_;
const Real K_;
mutable Size fCtr_ = 0, fPrimeCtr_ = 0, fDoublePrimeCtr_ = 0;
};
}
}
#endif
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