void FdSimpleExtOUJumpSwingEngine::calculate() const {
boost::shared_ptr<SwingExercise> swingExercise(
boost::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
QL_REQUIRE(swingExercise, "Swing exercise supported only");
// 1. Layout
std::vector<Size> dim;
dim.push_back(xGrid_);
dim.push_back(yGrid_);
dim.push_back(arguments_.maxExerciseRights+1);
const boost::shared_ptr<FdmLinearOpLayout> layout(
new FdmLinearOpLayout(dim));
// 2. Mesher
const std::vector<Time> exerciseTimes
= swingExercise->exerciseTimes(rTS_->dayCounter(),
rTS_->referenceDate());
const Time maturity = exerciseTimes.back();
const boost::shared_ptr<StochasticProcess1D> ouProcess(
process_->getExtendedOrnsteinUhlenbeckProcess());
const boost::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));
const boost::shared_ptr<Fdm1dMesher> yMesher(
new ExponentialJump1dMesher(yGrid_,
process_->beta(),
process_->jumpIntensity(),
process_->eta()));
const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
new Uniform1dMesher(0, arguments_.maxExerciseRights,
arguments_.maxExerciseRights+1));
std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
meshers.push_back(xMesher);
meshers.push_back(yMesher);
meshers.push_back(exerciseMesher);
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(layout, meshers));
// 3. Calculator
boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmZeroInnerValue());
// 4. Step conditions
std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
std::list<std::vector<Time> > stoppingTimes;
// 4.1 Bermudan step conditions
stoppingTimes.push_back(exerciseTimes);
const boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
boost::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
new FdmExtOUJumpModelInnerValue(payoff, mesher, shape_));
stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
new FdmSimpleSwingCondition(exerciseTimes, mesher,
exerciseCalculator, 2)));
boost::shared_ptr<FdmStepConditionComposite> conditions(
new FdmStepConditionComposite(stoppingTimes, stepConditions));
// 5. Boundary conditions
const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
// 6. set-up solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity, tGrid_, 0 };
const boost::shared_ptr<FdmSimple3dExtOUJumpSolver> solver(
new FdmSimple3dExtOUJumpSolver(
Handle<ExtOUWithJumpsProcess>(process_),
rTS_, solverDesc, schemeDesc_));
const Real x = process_->initialValues()[0];
const Real y = process_->initialValues()[1];
std::vector< std::pair<Real, Real> > exerciseValues;
for (Size i=arguments_.minExerciseRights;
i <= arguments_.maxExerciseRights; ++i) {
const Real z = Real(i);
exerciseValues.push_back(std::pair<Real, Real>(
solver->valueAt(x, y, z), z));
}
const Real z = std::max_element(exerciseValues.begin(),
exerciseValues.end())->second;
results_.value = solver->valueAt(x, y, z);
}
void FdSimpleBSSwingEngine::calculate() const {
QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,
"Bermudan exercise supported only");
// 1. Mesher
const boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
const Time maturity = process_->time(arguments_.exercise->lastDate());
const boost::shared_ptr<Fdm1dMesher> equityMesher(
new FdmBlackScholesMesher(xGrid_, process_,
maturity, payoff->strike()));
const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
new Uniform1dMesher(0, arguments_.maxExerciseRights,
arguments_.maxExerciseRights+1));
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(equityMesher, exerciseMesher));
// 2. Calculator
boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmZeroInnerValue());
// 3. Step conditions
std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
std::list<std::vector<Time> > stoppingTimes;
// 3.1 Bermudan step conditions
std::vector<Time> exerciseTimes;
for (Size i=0; i<arguments_.exercise->dates().size(); ++i) {
Time t = process_->time(arguments_.exercise->dates()[i]);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
exerciseTimes.push_back(t);
}
stoppingTimes.push_back(exerciseTimes);
boost::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(
new FdmLogInnerValue(payoff, mesher, 0));
stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
new FdmSimpleSwingCondition(exerciseTimes, mesher,
exerciseCalculator, 1)));
boost::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 };
boost::shared_ptr<FdmSimple2dBSSolver> solver(
new FdmSimple2dBSSolver(
Handle<GeneralizedBlackScholesProcess>(process_),
payoff->strike(), solverDesc, schemeDesc_));
const Real spot = process_->x0();
std::vector< std::pair<Real, Real> > exerciseValues;
for (Size i=arguments_.minExerciseRights;
i <= arguments_.maxExerciseRights; ++i) {
const Real y = std::exp(Real(i));
exerciseValues.push_back(
std::pair<Real, Real>(solver->valueAt(spot, y), y));
}
const Real y = std::max_element(exerciseValues.begin(),
exerciseValues.end())->second;
results_.value = solver->valueAt(spot, y);
results_.delta = solver->deltaAt(spot, y, spot*0.01);
results_.gamma = solver->gammaAt(spot, y, spot*0.01);
results_.theta = solver->thetaAt(spot, y);
}
