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Monte Carlo pricing engines for all lookbacks
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| /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ | ||
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| /* | ||
| 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 | ||
| <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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| #include <ql/pricingengines/lookback/mclookbackengine.hpp> | ||
| #include <algorithm> | ||
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| namespace QuantLib { | ||
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| class LookbackFixedPathPricer : public PathPricer<Path> { | ||
| public: | ||
| LookbackFixedPathPricer(Option::Type type, | ||
| Real strike, | ||
| DiscountFactor discount); | ||
| Real operator()(const Path& path) const; | ||
| private: | ||
| PlainVanillaPayoff payoff_; | ||
| DiscountFactor discount_; | ||
| }; | ||
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| class LookbackPartialFixedPathPricer : public PathPricer<Path> { | ||
| public: | ||
| LookbackPartialFixedPathPricer(Time lookbackStart, | ||
| Option::Type type, | ||
| Real strike, | ||
| const DiscountFactor discount); | ||
| Real operator()(const Path& path) const; | ||
| private: | ||
| Time lookbackStart_; | ||
| PlainVanillaPayoff payoff_; | ||
| DiscountFactor discount_; | ||
| }; | ||
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| class LookbackFloatingPathPricer : public PathPricer<Path> { | ||
| public: | ||
| LookbackFloatingPathPricer(Option::Type type, | ||
| DiscountFactor discount); | ||
| Real operator()(const Path& path) const; | ||
| private: | ||
| FloatingTypePayoff payoff_; | ||
| DiscountFactor discount_; | ||
| }; | ||
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| class LookbackPartialFloatingPathPricer : public PathPricer<Path> { | ||
| public: | ||
| LookbackPartialFloatingPathPricer(Time lookbackEnd, | ||
| Option::Type type, | ||
| DiscountFactor discount); | ||
| Real operator()(const Path& path) const; | ||
| private: | ||
| Time lookbackEnd_; | ||
| FloatingTypePayoff payoff_; | ||
| DiscountFactor discount_; | ||
| }; | ||
|
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| namespace detail { | ||
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| ext::shared_ptr<PathPricer<Path> > | ||
| mc_lookback_path_pricer( | ||
| const ContinuousFixedLookbackOption::arguments& args, | ||
| const GeneralizedBlackScholesProcess& process, | ||
| DiscountFactor discount) { | ||
| ext::shared_ptr<PlainVanillaPayoff> payoff = | ||
| ext::dynamic_pointer_cast<PlainVanillaPayoff>(args.payoff); | ||
| QL_REQUIRE(payoff, "non-plain payoff given"); | ||
|
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| return ext::shared_ptr<PathPricer<Path> >( | ||
| new LookbackFixedPathPricer(payoff->optionType(), | ||
| payoff->strike(), | ||
| discount)); | ||
| } | ||
|
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| ext::shared_ptr<PathPricer<Path> > | ||
| mc_lookback_path_pricer( | ||
| const ContinuousPartialFixedLookbackOption::arguments& args, | ||
| const GeneralizedBlackScholesProcess& process, | ||
| DiscountFactor discount) { | ||
| ext::shared_ptr<PlainVanillaPayoff> payoff = | ||
| ext::dynamic_pointer_cast<PlainVanillaPayoff>(args.payoff); | ||
| QL_REQUIRE(payoff, "non-plain payoff given"); | ||
|
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| Time lookbackStart = process.time(args.lookbackPeriodStart); | ||
|
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| return ext::shared_ptr<PathPricer<Path> >( | ||
| new LookbackPartialFixedPathPricer(lookbackStart, | ||
| payoff->optionType(), | ||
| payoff->strike(), | ||
| discount)); | ||
| } | ||
|
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| ext::shared_ptr<PathPricer<Path> > | ||
| mc_lookback_path_pricer( | ||
| const ContinuousFloatingLookbackOption::arguments& args, | ||
| const GeneralizedBlackScholesProcess& process, | ||
| DiscountFactor discount) { | ||
| ext::shared_ptr<FloatingTypePayoff> payoff = | ||
| ext::dynamic_pointer_cast<FloatingTypePayoff>(args.payoff); | ||
| QL_REQUIRE(payoff, "non-floating payoff given"); | ||
|
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| return ext::shared_ptr<PathPricer<Path> >( | ||
| new LookbackFloatingPathPricer(payoff->optionType(), | ||
| discount)); | ||
| } | ||
|
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| ext::shared_ptr<PathPricer<Path> > | ||
| mc_lookback_path_pricer( | ||
| const ContinuousPartialFloatingLookbackOption::arguments& args, | ||
| const GeneralizedBlackScholesProcess& process, | ||
| DiscountFactor discount) { | ||
| ext::shared_ptr<FloatingTypePayoff> payoff = | ||
| ext::dynamic_pointer_cast<FloatingTypePayoff>(args.payoff); | ||
| QL_REQUIRE(payoff, "non-floating payoff given"); | ||
|
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| Time lookbackEnd = process.time(args.lookbackPeriodEnd); | ||
|
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| return ext::shared_ptr<PathPricer<Path> >( | ||
| new LookbackPartialFloatingPathPricer(lookbackEnd, | ||
| payoff->optionType(), | ||
| discount)); | ||
| } | ||
|
|
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| } | ||
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| LookbackFixedPathPricer::LookbackFixedPathPricer( | ||
| Option::Type type, | ||
| Real strike, | ||
| DiscountFactor discount) | ||
| : payoff_(type, strike), discount_(discount) { | ||
| QL_REQUIRE(strike>=0.0, | ||
| "strike less than zero not allowed"); | ||
| } | ||
|
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| Real LookbackFixedPathPricer::operator()(const Path& path) const { | ||
| QL_REQUIRE(!path.empty(), "the path cannot be empty"); | ||
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| Real underlying; | ||
| switch (payoff_.optionType()) { | ||
| case Option::Put: | ||
| underlying = *std::min_element(path.begin()+1, path.end()); | ||
| break; | ||
| case Option::Call: | ||
| underlying = *std::max_element(path.begin()+1, path.end()); | ||
| break; | ||
| default: | ||
| QL_FAIL("unknown option type"); | ||
| } | ||
|
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| return payoff_(underlying) * discount_; | ||
| } | ||
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| LookbackPartialFixedPathPricer::LookbackPartialFixedPathPricer( | ||
| Time lookbackStart, | ||
| Option::Type type, | ||
| Real strike, | ||
| const DiscountFactor discount) | ||
| : lookbackStart_(lookbackStart), payoff_(type, strike), discount_(discount) { | ||
| QL_REQUIRE(strike>=0.0, | ||
| "strike less than zero not allowed"); | ||
| } | ||
|
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| Real LookbackPartialFixedPathPricer::operator()(const Path& path) const { | ||
| QL_REQUIRE(!path.empty(), "the path cannot be empty"); | ||
|
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| TimeGrid timeGrid = path.timeGrid(); | ||
| Size startIndex = timeGrid.closestIndex(lookbackStart_); | ||
| Real underlying; | ||
| switch (payoff_.optionType()) { | ||
| case Option::Put: | ||
| underlying = *std::min_element(path.begin()+startIndex+1, path.end()); | ||
| break; | ||
| case Option::Call: | ||
| underlying = *std::max_element(path.begin()+startIndex+1, path.end()); | ||
| break; | ||
| default: | ||
| QL_FAIL("unknown option type"); | ||
| } | ||
|
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| return payoff_(underlying) * discount_; | ||
| } | ||
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|
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| LookbackFloatingPathPricer::LookbackFloatingPathPricer( | ||
| Option::Type type, | ||
| const DiscountFactor discount) | ||
| : payoff_(type), discount_(discount) {} | ||
|
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| Real LookbackFloatingPathPricer::operator()(const Path& path) const { | ||
| QL_REQUIRE(!path.empty(), "the path cannot be empty"); | ||
|
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| Real terminalPrice = path.back(); | ||
| Real strike; | ||
| switch (payoff_.optionType()) { | ||
| case Option::Call: | ||
| strike = *std::min_element(path.begin()+1, path.end()); | ||
| break; | ||
| case Option::Put: | ||
| strike = *std::max_element(path.begin()+1, path.end()); | ||
| break; | ||
| default: | ||
| QL_FAIL("unknown option type"); | ||
| } | ||
|
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| return payoff_(terminalPrice, strike) * discount_; | ||
| } | ||
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| LookbackPartialFloatingPathPricer::LookbackPartialFloatingPathPricer( | ||
| Time lookbackEnd, | ||
| Option::Type type, | ||
| DiscountFactor discount) | ||
| : lookbackEnd_(lookbackEnd), payoff_(type), discount_(discount) {} | ||
|
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| Real LookbackPartialFloatingPathPricer::operator()(const Path& path) const { | ||
| QL_REQUIRE(!path.empty(), "the path cannot be empty"); | ||
|
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| TimeGrid timeGrid = path.timeGrid(); | ||
| Size endIndex = timeGrid.closestIndex(lookbackEnd_); | ||
| Real terminalPrice = path.back(); | ||
| Real strike; | ||
|
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| switch (payoff_.optionType()) { | ||
| case Option::Call: | ||
| strike = *std::min_element(path.begin()+1, path.begin()+endIndex+1); | ||
| break; | ||
| case Option::Put: | ||
| strike = *std::max_element(path.begin()+1, path.begin()+endIndex+1); | ||
| break; | ||
| default: | ||
| QL_FAIL("unknown option type"); | ||
| } | ||
|
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| return payoff_(terminalPrice, strike) * discount_; | ||
| } | ||
|
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| } |
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