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Added shout option engine in new-style FD framework
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75 changes: 75 additions & 0 deletions
75
ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.cpp
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| Original file line number | Diff line number | Diff line change |
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| /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ | ||
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| /* | ||
| 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 | ||
| <http://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. | ||
| */ | ||
|
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| /*! \file fdmshoutinnervaluecalculator.cpp | ||
| \brief inner value for a shout option | ||
| */ | ||
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| #include <ql/instruments/payoffs.hpp> | ||
| #include <ql/pricingengines/blackformula.hpp> | ||
| #include <ql/processes/blackscholesprocess.hpp> | ||
| #include <ql/methods/finitedifferences/meshers/fdmmesher.hpp> | ||
| #include <ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp> | ||
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| namespace QuantLib { | ||
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| FdmShoutLogInnerValueCalculator::FdmShoutLogInnerValueCalculator( | ||
| const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, | ||
| Time maturity, | ||
| const ext::shared_ptr<PlainVanillaPayoff>& payoff, | ||
| const ext::shared_ptr<FdmMesher>& mesher, | ||
| Size direction) | ||
| : process_(process), | ||
| maturity_(maturity), | ||
| payoff_(payoff), | ||
| mesher_(mesher), | ||
| direction_(direction) { } | ||
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| Real FdmShoutLogInnerValueCalculator::innerValue( | ||
| const FdmLinearOpIterator& iter, Time t) { | ||
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| const Real s_t = std::exp(mesher_->location(iter, direction_)); | ||
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| const DiscountFactor qf = | ||
| process_->dividendYield()->discount(maturity_)/ | ||
| process_->dividendYield()->discount(t); | ||
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| const DiscountFactor df = | ||
| process_->riskFreeRate()->discount(maturity_)/ | ||
| process_->riskFreeRate()->discount(t); | ||
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| const Real fwd = s_t*qf/df; | ||
| const Volatility stdDev = process_->blackVolatility()->blackForwardVol( | ||
| t, maturity_, s_t)*std::sqrt(maturity_-t); | ||
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| const Real npv = blackFormula( | ||
| payoff_->optionType(), s_t, fwd, stdDev, df); | ||
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| const Real intrinsic = (payoff_->optionType() == Option::Call) | ||
| ? s_t - payoff_->strike() : payoff_->strike() - s_t; | ||
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| return std::max(0.0, npv + intrinsic*df); | ||
| } | ||
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| Real FdmShoutLogInnerValueCalculator::avgInnerValue( | ||
| const FdmLinearOpIterator& iter, Time t) { | ||
| return innerValue(iter, t); | ||
| } | ||
| } |
55 changes: 55 additions & 0 deletions
55
ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,55 @@ | ||
| /* -*- 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 | ||
| <http://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. | ||
| */ | ||
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| /*! \file fdmshoutloginnervaluecalculator.hpp | ||
| \brief inner value for a shout option | ||
| */ | ||
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| #ifndef quantlib_fdm_shout_log_inner_value_calculator_hpp | ||
| #define quantlib_fdm_shout_log_inner_value_calculator_hpp | ||
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| #include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp> | ||
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| namespace QuantLib { | ||
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| class PlainVanillaPayoff; | ||
| class GeneralizedBlackScholesProcess; | ||
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| class FdmShoutLogInnerValueCalculator: public FdmInnerValueCalculator { | ||
| public: | ||
| FdmShoutLogInnerValueCalculator( | ||
| const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, | ||
| Time maturity, | ||
| const ext::shared_ptr<PlainVanillaPayoff>& payoff, | ||
| const ext::shared_ptr<FdmMesher>& mesher, | ||
| Size direction); | ||
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| Real innerValue(const FdmLinearOpIterator& iter, Time t) override; | ||
| Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override; | ||
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| private: | ||
| const ext::shared_ptr<GeneralizedBlackScholesProcess> process_; | ||
| const Time maturity_; | ||
| const ext::shared_ptr<PlainVanillaPayoff> payoff_; | ||
| const ext::shared_ptr<FdmMesher> mesher_; | ||
| const Size direction_; | ||
| }; | ||
| } | ||
|
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| #endif |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,90 @@ | ||
| /* -*- 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 | ||
| <http://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. | ||
| */ | ||
|
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| /*! \file fdblackscholesshoutengine.cpp | ||
| */ | ||
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| #include <ql/exercise.hpp> | ||
| #include <ql/processes/blackscholesprocess.hpp> | ||
| #include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp> | ||
| #include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp> | ||
| #include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp> | ||
| #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp> | ||
| #include <ql/methods/finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp> | ||
| #include <ql/pricingengines/vanilla/fdblackscholesshoutengine.hpp> | ||
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| namespace QuantLib { | ||
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| FdBlackScholesShoutEngine::FdBlackScholesShoutEngine( | ||
| const ext::shared_ptr<GeneralizedBlackScholesProcess>& process, | ||
| Size tGrid, Size xGrid, Size dampingSteps, | ||
| const FdmSchemeDesc& schemeDesc) | ||
| : process_(process), | ||
| tGrid_(tGrid), | ||
| xGrid_(xGrid), | ||
| dampingSteps_(dampingSteps), | ||
| schemeDesc_(schemeDesc) { | ||
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| registerWith(process_); | ||
| } | ||
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| void FdBlackScholesShoutEngine::calculate() const { | ||
| const Date exerciseDate = arguments_.exercise->lastDate(); | ||
| const Time maturity = process_->time(exerciseDate); | ||
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| const auto payoff = | ||
| ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff); | ||
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| QL_REQUIRE(payoff, "non plain vanilla payoff given"); | ||
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| 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))); | ||
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| const auto innerValuecalculator = | ||
| ext::make_shared<FdmShoutLogInnerValueCalculator>( | ||
| process_, maturity, payoff, mesher, 0); | ||
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| const auto conditions = | ||
| FdmStepConditionComposite::vanillaComposite( | ||
| DividendSchedule(), arguments_.exercise, mesher, | ||
| innerValuecalculator, | ||
| process_->riskFreeRate()->referenceDate(), | ||
| process_->riskFreeRate()->dayCounter()); | ||
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| const FdmSolverDesc solverDesc = { | ||
| mesher, FdmBoundaryConditionSet(), | ||
| conditions, innerValuecalculator, | ||
| maturity, tGrid_, dampingSteps_ }; | ||
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| const auto solver = | ||
| ext::make_shared<FdmBlackScholesSolver>( | ||
| Handle<GeneralizedBlackScholesProcess>(process_), | ||
| payoff->strike(), solverDesc, schemeDesc_); | ||
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| const Real spot = process_->x0(); | ||
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| results_.value = solver->valueAt(spot); | ||
| results_.delta = solver->deltaAt(spot); | ||
| results_.gamma = solver->gammaAt(spot); | ||
| results_.theta = solver->thetaAt(spot); | ||
| } | ||
| } |
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