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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2020 Lew Wei Hao
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 fdcirvanillaengine.hpp
\brief Finite-differences CIR vanilla option engine
*/
#ifndef quantlib_fd_cir_vanilla_engine_hpp
#define quantlib_fd_cir_vanilla_engine_hpp
#include <ql/instruments/vanillaoption.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/processes/coxingersollrossprocess.hpp>
#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
namespace QuantLib {
class FdmQuantoHelper;
//! Finite-differences CIR vanilla option engine
/*! \ingroup vanillaengines
\test the engine has been tested to converge among different schemes.
*/
class FdCIRVanillaEngine : public VanillaOption::engine {
public:
FdCIRVanillaEngine(ext::shared_ptr<CoxIngersollRossProcess> cirProcess,
ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,
Size tGrid,
Size xGrid,
Size vGrid,
Size dampingSteps,
Real rho,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
ext::shared_ptr<FdmQuantoHelper> quantoHelper = {});
FdCIRVanillaEngine(ext::shared_ptr<CoxIngersollRossProcess> cirProcess,
ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,
DividendSchedule dividends,
Size tGrid,
Size xGrid,
Size vGrid,
Size dampingSteps,
Real rho,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::ModifiedHundsdorfer(),
ext::shared_ptr<FdmQuantoHelper> quantoHelper = {});
void calculate() const override;
FdmSolverDesc getSolverDesc(Real equityScaleFactor) const;
private:
ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
ext::shared_ptr<CoxIngersollRossProcess> cirProcess_;
ext::shared_ptr<FdmQuantoHelper> quantoHelper_;
DividendSchedule dividends_;
const Size tGrid_, xGrid_, rGrid_, dampingSteps_;
const Real rho_;
const FdmSchemeDesc schemeDesc_;
};
class MakeFdCIRVanillaEngine {
public:
explicit MakeFdCIRVanillaEngine(ext::shared_ptr<CoxIngersollRossProcess> cirProcess,
ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,
Real rho);
MakeFdCIRVanillaEngine& withQuantoHelper(
const ext::shared_ptr<FdmQuantoHelper>& quantoHelper);
MakeFdCIRVanillaEngine& withTGrid(Size tGrid);
MakeFdCIRVanillaEngine& withXGrid(Size xGrid);
MakeFdCIRVanillaEngine& withRGrid(Size rGrid);
MakeFdCIRVanillaEngine& withDampingSteps(
Size dampingSteps);
MakeFdCIRVanillaEngine& withFdmSchemeDesc(
const FdmSchemeDesc& schemeDesc);
MakeFdCIRVanillaEngine& withCashDividends(
const std::vector<Date>& dividendDates,
const std::vector<Real>& dividendAmounts);
operator ext::shared_ptr<PricingEngine>() const;
private:
ext::shared_ptr<CoxIngersollRossProcess> cirProcess_;
ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess_;
DividendSchedule dividends_;
const Real rho_;
Size tGrid_ = 10, xGrid_ = 100, rGrid_ = 100, dampingSteps_ = 0;
ext::shared_ptr<FdmSchemeDesc> schemeDesc_;
ext::shared_ptr<FdmQuantoHelper> quantoHelper_;
};
}
#endif
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