boost::shared_ptr<BlackVolTermStructure>
flatVol(const Date& today, Volatility vol,
const DayCounter& dc) {
return flatVol(today,
boost::shared_ptr<Quote>(new SimpleQuote(vol)),
dc);
}
// [[Rcpp::export]]
Rcpp::List europeanOptionArraysEngine(std::string type, Rcpp::NumericMatrix par) {
QuantLib::Option::Type optionType = getOptionType(type);
int n = par.nrow();
Rcpp::NumericVector value(n), delta(n), gamma(n), vega(n), theta(n), rho(n), divrho(n);
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::DayCounter dc = QuantLib::Actual360();
for (int i=0; i<n; i++) {
double underlying = par(i, 0); // first column
double strike = par(i, 1); // second column
QuantLib::Spread dividendYield = par(i, 2); // third column
QuantLib::Rate riskFreeRate = par(i, 3); // fourth column
QuantLib::Time maturity = par(i, 4); // fifth column
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
boost::posix_time::time_duration length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60));
#else
int length = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
double volatility = par(i, 5); // sixth column
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote( underlying ));
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote( volatility ));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote( dividendYield ));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote( riskFreeRate ));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
#ifdef QL_HIGH_RESOLUTION_DATE
QuantLib::Date exDate(today.dateTime() + length);
#else
QuantLib::Date exDate = today + length;
#endif
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
boost::shared_ptr<QuantLib::VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);
value[i] = option->NPV();
delta[i] = option->delta();
gamma[i] = option->gamma();
vega[i] = option->vega();
theta[i] = option->theta();
rho[i] = option->rho();
divrho[i] = option->dividendRho();
}
return Rcpp::List::create(Rcpp::Named("value") = value,
Rcpp::Named("delta") = delta,
Rcpp::Named("gamma") = gamma,
Rcpp::Named("vega") = vega,
Rcpp::Named("theta") = theta,
Rcpp::Named("rho") = rho,
Rcpp::Named("divRho") = divrho);
}
// dumped core when we tried last
// no longer under 0.3.10 and g++ 4.0.1 (Aug 2005)
// [[Rcpp::export]]
double binaryOptionImpliedVolatilityEngine(std::string type,
double value,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility,
double cashPayoff) {
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
boost::posix_time::time_duration length = boost::posix_time::minutes(maturity * 360 * 24 * 60);
#else
int length = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
QuantLib::Option::Type optionType = getOptionType(type);
// updated again for QuantLib 0.9.0,
// cf QuantLib-0.9.0/test-suite/digitaloption.cpp
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::DayCounter dc = QuantLib::Actual360();
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::StrikedTypePayoff>
payoff(new QuantLib::CashOrNothingPayoff(optionType, strike, cashPayoff));
#ifdef QL_HIGH_RESOLUTION_DATE
QuantLib::Date exDate(today.dateTime() + length);
#else
QuantLib::Date exDate = today + length;
#endif
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
//boost::shared_ptr<PricingEngine> engine(new AnalyticEuropeanEngine(stochProcess));
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::AnalyticBarrierEngine(stochProcess));
QuantLib::VanillaOption opt(payoff, exercise);
opt.setPricingEngine(engine);
return opt.impliedVolatility(value, stochProcess);
}
// [[Rcpp::export]]
double europeanOptionImpliedVolatilityEngine(std::string type,
double value,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility) {
const QuantLib::Size maxEvaluations = 100;
const double tolerance = 1.0e-6;
int length = int(maturity*360 + 0.5); // FIXME: this could be better
QuantLib::Option::Type optionType = getOptionType(type);
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
// new framework as per QuantLib 0.3.5
// updated for 0.3.7
QuantLib::DayCounter dc = QuantLib::Actual360();
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today,qRate,dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
QuantLib::Date exDate = today + length;
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
boost::shared_ptr<QuantLib::VanillaOption>
option = makeOption(payoff, exercise, spot, qTS, rTS,
volTS, Analytic,
QuantLib::Null<QuantLib::Size>(),
QuantLib::Null<QuantLib::Size>());
boost::shared_ptr<QuantLib::GeneralizedBlackScholesProcess>
process = makeProcess(spot, qTS, rTS,volTS);
double volguess = volatility;
vol->setValue(volguess);
return option->impliedVolatility(value, process, tolerance, maxEvaluations);
}
// [[Rcpp::export]]
Rcpp::List binaryOptionEngine(std::string binType,
std::string type,
std::string excType,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility,
double cashPayoff) {
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
boost::posix_time::time_duration length = boost::posix_time::minutes(maturity * 360 * 24 * 60);
#else
int length = int(maturity*360 + 0.5); // FIXME: this could be better, but same rounding in QL
#endif
QuantLib::Option::Type optionType = getOptionType(type);
// new QuantLib 0.3.5 framework: digitals, updated for 0.3.7
// updated again for QuantLib 0.9.0,
// cf QuantLib-0.9.0/test-suite/digitaloption.cpp
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::DayCounter dc = QuantLib::Actual360();
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today,qRate,dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff;
if (binType=="cash") {
boost::shared_ptr<QuantLib::StrikedTypePayoff> con(new QuantLib::CashOrNothingPayoff(optionType, strike, cashPayoff));
payoff = con;
} else if (binType=="asset") {
boost::shared_ptr<QuantLib::StrikedTypePayoff> aon(new QuantLib::AssetOrNothingPayoff(optionType, strike));
payoff = aon;
} else if (binType=="gap") {
boost::shared_ptr<QuantLib::StrikedTypePayoff> gap(new QuantLib::GapPayoff(optionType, strike, cashPayoff));
payoff = gap;
} else {
throw std::range_error("Unknown binary option type " + binType);
}
#ifdef QL_HIGH_RESOLUTION_DATE
QuantLib::Date exDate(today.dateTime() + length);
#else
QuantLib::Date exDate = today + length;
#endif
boost::shared_ptr<QuantLib::Exercise> exercise;
if (excType=="american") {
boost::shared_ptr<QuantLib::Exercise> amEx(new QuantLib::AmericanExercise(today, exDate));
exercise = amEx;
} else if (excType=="european") {
boost::shared_ptr<QuantLib::Exercise> euEx(new QuantLib::EuropeanExercise(exDate));
exercise = euEx;
} else {
throw std::range_error("Unknown binary exercise type " + excType);
}
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
boost::shared_ptr<QuantLib::PricingEngine> engine;
if (excType=="american") {
boost::shared_ptr<QuantLib::PricingEngine> amEng(new QuantLib::AnalyticDigitalAmericanEngine(stochProcess));
engine = amEng;
} else if (excType=="european") {
boost::shared_ptr<QuantLib::PricingEngine> euEng(new QuantLib::AnalyticEuropeanEngine(stochProcess));
engine = euEng;
} else {
throw std::range_error("Unknown binary exercise type " + excType);
}
QuantLib::VanillaOption opt(payoff, exercise);
opt.setPricingEngine(engine);
Rcpp::List rl = Rcpp::List::create(Rcpp::Named("value") = opt.NPV(),
Rcpp::Named("delta") = opt.delta(),
Rcpp::Named("gamma") = opt.gamma(),
Rcpp::Named("vega") = (excType=="european") ? opt.vega() : R_NaN,
Rcpp::Named("theta") = (excType=="european") ? opt.theta() : R_NaN,
Rcpp::Named("rho") = (excType=="european") ? opt.rho() : R_NaN,
Rcpp::Named("divRho") = (excType=="european") ? opt.dividendRho() : R_NaN);
return rl;
}
// [[Rcpp::export]]
Rcpp::List barrierOptionEngine(std::string barrType,
std::string type,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility,
double barrier,
double rebate) {
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
boost::posix_time::time_duration length = boost::posix_time::minutes(maturity * 360 * 24 * 60);
#else
int length = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
QuantLib::Barrier::Type barrierType = QuantLib::Barrier::DownIn;
if (barrType=="downin") {
barrierType = QuantLib::Barrier::DownIn;
} else if (barrType=="upin") {
barrierType = QuantLib::Barrier::UpIn;
} else if (barrType=="downout") {
barrierType = QuantLib::Barrier::DownOut;
} else if (barrType=="upout") {
barrierType = QuantLib::Barrier::UpOut;
} else {
throw std::range_error("Unknown barrier type " + type);
}
QuantLib::Option::Type optionType = getOptionType(type);
// new QuantLib 0.3.5 framework, updated for 0.3.7
// updated again for QuantLib 0.9.0,
// cf QuantLib-0.9.0/test-suite/barrieroption.cpp
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::DayCounter dc = QuantLib::Actual360();
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
#ifdef QL_HIGH_RESOLUTION_DATE
QuantLib::Date exDate(today.dateTime() + length);
#else
QuantLib::Date exDate = today + length;
#endif
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
// Size timeSteps = 1;
// bool antitheticVariate = false;
// bool controlVariate = false;
// Size requiredSamples = 10000;
// double requiredTolerance = 0.02;
// Size maxSamples = 1000000;
// bool isBiased = false;
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::AnalyticBarrierEngine(stochProcess));
// need to explicitly reference BarrierOption from QuantLib here
QuantLib::BarrierOption barrierOption(barrierType,
barrier,
rebate,
payoff,
exercise);
barrierOption.setPricingEngine(engine);
Rcpp::List rl = Rcpp::List::create(Rcpp::Named("value") = barrierOption.NPV(),
Rcpp::Named("delta") = R_NaReal,
Rcpp::Named("gamma") = R_NaReal,
Rcpp::Named("vega") = R_NaReal,
Rcpp::Named("theta") = R_NaReal,
Rcpp::Named("rho") = R_NaReal,
Rcpp::Named("divRho") = R_NaReal);
return rl;
}
// [[Rcpp::export]]
Rcpp::List asianOptionEngine(std::string averageType,
std::string type,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility,
double first,
double length,
size_t fixings) {
QuantLib::Option::Type optionType = getOptionType(type);
//from test-suite/asionoptions.cpp
QuantLib::DayCounter dc = QuantLib::Actual360();
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
QuantLib::ext::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
QuantLib::ext::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
QuantLib::ext::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new
QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
QuantLib::ext::shared_ptr<QuantLib::StrikedTypePayoff>
payoff(new QuantLib::PlainVanillaPayoff(optionType,strike));
Rcpp::List rl = R_NilValue;
if (averageType=="geometric"){
QuantLib::ext::shared_ptr<QuantLib::PricingEngine>
engine(new
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess));
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
QuantLib::Date exDate(today.dateTime() + boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60)));
#else
QuantLib::Date exDate = today + int(maturity * 360 + 0.5);
#endif
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
QuantLib::ContinuousAveragingAsianOption option(QuantLib::Average::Geometric,
payoff, exercise);
option.setPricingEngine(engine);
rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = option.delta(),
Rcpp::Named("gamma") = option.gamma(),
Rcpp::Named("vega") = option.vega(),
Rcpp::Named("theta") = option.theta(),
Rcpp::Named("rho") = option.rho(),
Rcpp::Named("divRho") = option.dividendRho());
} else if (averageType=="arithmetic") {
// TODO: check fixings > 1, first, length
if (first < 0) Rcpp::stop("Parameter 'first' must be non-negative.");
if (length < 0) Rcpp::stop("Parameter 'length' must be non-negative.");
if (fixings <= 1) Rcpp::stop("Parameter 'fixings' must be larger than one.");
boost::shared_ptr<QuantLib::PricingEngine> engine =
QuantLib::MakeMCDiscreteArithmeticAPEngine<QuantLib::LowDiscrepancy>(stochProcess)
.withSamples(2047)
.withControlVariate();
//boost::shared_ptr<PricingEngine> engine =
// MakeMCDiscreteArithmeticASEngine<LowDiscrepancy>(stochProcess)
// .withSeed(3456789)
// .withSamples(1023);
QuantLib::Time dt = length / (fixings - 1);
std::vector<QuantLib::Time> timeIncrements(fixings);
std::vector<QuantLib::Date> fixingDates(fixings);
timeIncrements[0] = first;
fixingDates[0] = today + QuantLib::Integer(timeIncrements[0] * 360 + 0.5);
for (QuantLib::Size i=1; i<fixings; i++) {
timeIncrements[i] = i*dt + first;
#ifdef QL_HIGH_RESOLUTION_DATE
fixingDates[i]= QuantLib::Date(today.dateTime() + boost::posix_time::minutes(boost::uint64_t(timeIncrements[i] * 360 * 24 * 60)));
#else
fixingDates[i] = today + QuantLib::Integer(timeIncrements[i]*360+0.5);
#endif
}
QuantLib::Real runningSum = 0.0;
QuantLib::Size pastFixing = 0;
boost::shared_ptr<QuantLib::Exercise>
exercise(new QuantLib::EuropeanExercise(fixingDates[fixings-1]));
QuantLib::DiscreteAveragingAsianOption option(QuantLib::Average::Arithmetic,
runningSum,
pastFixing,
fixingDates,
payoff,
exercise);
option.setPricingEngine(engine);
rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = R_NaReal,
Rcpp::Named("gamma") = R_NaReal,
Rcpp::Named("vega") = R_NaReal,
Rcpp::Named("theta") = R_NaReal,
Rcpp::Named("rho") = R_NaReal,
Rcpp::Named("divRho") = R_NaReal);
}
return rl;
}
RcppExport SEXP AsianOption(SEXP optionParameters){
try{
Rcpp::List rparam(optionParameters);
std::string avgType = Rcpp::as<std::string>(rparam["averageType"]);
std::string type = Rcpp::as<std::string>(rparam["type"]);
double underlying = Rcpp::as<double>(rparam["underlying"]);
double strike = Rcpp::as<double>(rparam["strike"]);
QuantLib::Spread dividendYield = Rcpp::as<double>(rparam["dividendYield"]);
QuantLib::Rate riskFreeRate = Rcpp::as<double>(rparam["riskFreeRate"]);
QuantLib::Time maturity = Rcpp::as<double>(rparam["maturity"]);
// int length = int(maturity*360 + 0.5); // FIXME: this could be better
double volatility = Rcpp::as<double>(rparam["volatility"]);
QuantLib::Option::Type optionType = getOptionType(type);
//from test-suite/asionoptions.cpp
QuantLib::DayCounter dc = QuantLib::Actual360();
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new
QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType,strike));
QuantLib::Average::Type averageType = QuantLib::Average::Geometric;
Rcpp::List rl = R_NilValue;
if (avgType=="geometric"){
averageType = QuantLib::Average::Geometric;
boost::shared_ptr<QuantLib::PricingEngine>
engine(new
QuantLib::AnalyticContinuousGeometricAveragePriceAsianEngine(stochProcess));
QuantLib::Date exDate = today + int(maturity * 360 + 0.5);
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
QuantLib::ContinuousAveragingAsianOption option(averageType, payoff, exercise);
option.setPricingEngine(engine);
rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = option.delta(),
Rcpp::Named("gamma") = option.gamma(),
Rcpp::Named("vega") = option.vega(),
Rcpp::Named("theta") = option.theta(),
Rcpp::Named("rho") = option.rho(),
Rcpp::Named("divRho") = option.dividendRho(),
Rcpp::Named("parameters") = optionParameters);
} else if (avgType=="arithmetic"){
averageType = QuantLib::Average::Arithmetic;
boost::shared_ptr<QuantLib::PricingEngine> engine =
QuantLib::MakeMCDiscreteArithmeticAPEngine<QuantLib::LowDiscrepancy>(stochProcess)
.withSamples(2047)
.withControlVariate();
//boost::shared_ptr<PricingEngine> engine =
// MakeMCDiscreteArithmeticASEngine<LowDiscrepancy>(stochProcess)
// .withSeed(3456789)
// .withSamples(1023);
QuantLib::Size fixings = Rcpp::as<double>(rparam["fixings"]);
QuantLib::Time length = Rcpp::as<double>(rparam["length"]);
QuantLib::Time first = Rcpp::as<double>(rparam["first"]);
QuantLib::Time dt = length / (fixings - 1);
std::vector<QuantLib::Time> timeIncrements(fixings);
std::vector<QuantLib::Date> fixingDates(fixings);
timeIncrements[0] = first;
fixingDates[0] = today + QuantLib::Integer(timeIncrements[0] * 360 + 0.5);
for (QuantLib::Size i=1; i<fixings; i++) {
timeIncrements[i] = i*dt + first;
fixingDates[i] = today + QuantLib::Integer(timeIncrements[i]*360+0.5);
}
QuantLib::Real runningSum = 0.0;
QuantLib::Size pastFixing = 0;
boost::shared_ptr<QuantLib::Exercise>
exercise(new QuantLib::EuropeanExercise(fixingDates[fixings-1]));
QuantLib::DiscreteAveragingAsianOption option(QuantLib::Average::Arithmetic,
runningSum,
pastFixing,
fixingDates,
payoff,
exercise);
option.setPricingEngine(engine);
rl = Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = R_NaN,
Rcpp::Named("gamma") = R_NaN,
Rcpp::Named("vega") = R_NaN,
Rcpp::Named("theta") = R_NaN,
Rcpp::Named("rho") = R_NaN,
Rcpp::Named("divRho") = R_NaN,
Rcpp::Named("parameters") = optionParameters);
} else {
throw std::range_error("Unknown average type " + type);
}
return rl;
} catch(std::exception &ex) {
forward_exception_to_r(ex);
} catch(...) {
::Rf_error("c++ exception (unknown reason)");
}
return R_NilValue;
}
void BinomialVanillaEngine<T>::calculate() const {
DayCounter rfdc = process_->riskFreeRate()->dayCounter();
DayCounter divdc = process_->dividendYield()->dayCounter();
DayCounter voldc = process_->blackVolatility()->dayCounter();
Calendar volcal = process_->blackVolatility()->calendar();
Real s0 = process_->stateVariable()->value();
QL_REQUIRE(s0 > 0.0, "negative or null underlying given");
Volatility v = process_->blackVolatility()->blackVol(
arguments_.exercise->lastDate(), s0);
Date maturityDate = arguments_.exercise->lastDate();
Rate r = process_->riskFreeRate()->zeroRate(maturityDate,
rfdc, Continuous, NoFrequency);
Rate q = process_->dividendYield()->zeroRate(maturityDate,
divdc, Continuous, NoFrequency);
Date referenceDate = process_->riskFreeRate()->referenceDate();
// binomial trees with constant coefficient
Handle<YieldTermStructure> flatRiskFree(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(referenceDate, r, rfdc)));
Handle<YieldTermStructure> flatDividends(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(referenceDate, q, divdc)));
Handle<BlackVolTermStructure> flatVol(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(referenceDate, volcal, v, voldc)));
boost::shared_ptr<PlainVanillaPayoff> payoff =
boost::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-plain payoff given");
Time maturity = rfdc.yearFraction(referenceDate, maturityDate);
boost::shared_ptr<StochasticProcess1D> bs(
new GeneralizedBlackScholesProcess(
process_->stateVariable(),
flatDividends, flatRiskFree, flatVol));
TimeGrid grid(maturity, timeSteps_);
boost::shared_ptr<T> tree(new T(bs, maturity, timeSteps_,
payoff->strike()));
boost::shared_ptr<BlackScholesLattice<T> > lattice(
new BlackScholesLattice<T>(tree, r, maturity, timeSteps_));
DiscretizedVanillaOption option(arguments_, *process_, grid);
option.initialize(lattice, maturity);
// Partial derivatives calculated from various points in the
// binomial tree (Odegaard)
// Rollback to third-last step, and get underlying price (s2) &
// option values (p2) at this point
option.rollback(grid[2]);
Array va2(option.values());
QL_ENSURE(va2.size() == 3, "Expect 3 nodes in grid at second step");
Real p2h = va2[2]; // high-price
Real s2 = lattice->underlying(2, 2); // high price
// Rollback to second-last step, and get option value (p1) at
// this point
option.rollback(grid[1]);
Array va(option.values());
QL_ENSURE(va.size() == 2, "Expect 2 nodes in grid at first step");
Real p1 = va[1];
// Finally, rollback to t=0
option.rollback(0.0);
Real p0 = option.presentValue();
Real s1 = lattice->underlying(1, 1);
// Calculate partial derivatives
Real delta0 = (p1-p0)/(s1-s0); // dp/ds
Real delta1 = (p2h-p1)/(s2-s1); // dp/ds
// Store results
results_.value = p0;
results_.delta = delta0;
results_.gamma = 2.0*(delta1-delta0)/(s2-s0); //d(delta)/ds
results_.theta = blackScholesTheta(process_,
results_.value,
results_.delta,
results_.gamma);
}
// [[Rcpp::export]]
Rcpp::List europeanOptionEngine(std::string type,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility,
Rcpp::Nullable<Rcpp::NumericVector> discreteDividends,
Rcpp::Nullable<Rcpp::NumericVector> discreteDividendsTimeUntil) {
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
boost::posix_time::time_duration length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60));
#else
int length = int(maturity*360 + 0.5); // FIXME: this could be better
#endif
QuantLib::Option::Type optionType = getOptionType(type);
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
// new framework as per QuantLib 0.3.5
QuantLib::DayCounter dc = QuantLib::Actual360();
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote( underlying ));
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote( volatility ));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote( dividendYield ));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today, qRate, dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote( riskFreeRate ));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today, rRate, dc);
bool withDividends = discreteDividends.isNotNull() && discreteDividendsTimeUntil.isNotNull();
#ifdef QL_HIGH_RESOLUTION_DATE
QuantLib::Date exDate(today.dateTime() + length);
#else
QuantLib::Date exDate = today + length;
#endif
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::EuropeanExercise(exDate));
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
if (withDividends) {
Rcpp::NumericVector divvalues(discreteDividends), divtimes(discreteDividendsTimeUntil);
int n = divvalues.size();
std::vector<QuantLib::Date> discDivDates(n);
std::vector<double> discDividends(n);
for (int i = 0; i < n; i++) {
#ifdef QL_HIGH_RESOLUTION_DATE
boost::posix_time::time_duration discreteDividendLength = boost::posix_time::minutes(boost::uint64_t(divtimes[i] * 360 * 24 * 60));
discDivDates[i] = QuantLib::Date(today.dateTime() + discreteDividendLength);
#else
discDivDates[i] = today + int(divtimes[i] * 360 + 0.5);
#endif
discDividends[i] = divvalues[i];
}
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::AnalyticDividendEuropeanEngine(stochProcess));
QuantLib::DividendVanillaOption option(payoff, exercise, discDivDates, discDividends);
option.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = option.delta(),
Rcpp::Named("gamma") = option.gamma(),
Rcpp::Named("vega") = option.vega(),
Rcpp::Named("theta") = option.theta(),
Rcpp::Named("rho") = option.rho(),
Rcpp::Named("divRho") = R_NaReal);
}
else {
boost::shared_ptr<QuantLib::VanillaOption> option = makeOption(payoff, exercise, spot, qTS, rTS, volTS);
return Rcpp::List::create(Rcpp::Named("value") = option->NPV(),
Rcpp::Named("delta") = option->delta(),
Rcpp::Named("gamma") = option->gamma(),
Rcpp::Named("vega") = option->vega(),
Rcpp::Named("theta") = option->theta(),
Rcpp::Named("rho") = option->rho(),
Rcpp::Named("divRho") = option->dividendRho());
}
}
// [[Rcpp::export]]
Rcpp::List americanOptionEngine(std::string type,
double underlying,
double strike,
double dividendYield,
double riskFreeRate,
double maturity,
double volatility,
int timeSteps,
int gridPoints,
std::string engine,
Rcpp::Nullable<Rcpp::NumericVector> discreteDividends,
Rcpp::Nullable<Rcpp::NumericVector> discreteDividendsTimeUntil) {
#ifdef QL_HIGH_RESOLUTION_DATE
// in minutes
boost::posix_time::time_duration length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60));
#else
int length = int(maturity * 360 + 0.5); // FIXME: this could be better
#endif
QuantLib::Option::Type optionType = getOptionType(type);
// new framework as per QuantLib 0.3.5, updated for 0.3.7
// updated again for 0.9.0, see eg test-suite/americanoption.cpp
QuantLib::Date today = QuantLib::Date::todaysDate();
QuantLib::Settings::instance().evaluationDate() = today;
QuantLib::DayCounter dc = QuantLib::Actual360();
boost::shared_ptr<QuantLib::SimpleQuote> spot(new QuantLib::SimpleQuote(underlying));
boost::shared_ptr<QuantLib::SimpleQuote> qRate(new QuantLib::SimpleQuote(dividendYield));
boost::shared_ptr<QuantLib::YieldTermStructure> qTS = flatRate(today,qRate,dc);
boost::shared_ptr<QuantLib::SimpleQuote> rRate(new QuantLib::SimpleQuote(riskFreeRate));
boost::shared_ptr<QuantLib::YieldTermStructure> rTS = flatRate(today,rRate,dc);
boost::shared_ptr<QuantLib::SimpleQuote> vol(new QuantLib::SimpleQuote(volatility));
boost::shared_ptr<QuantLib::BlackVolTermStructure> volTS = flatVol(today, vol, dc);
bool withDividends = discreteDividends.isNotNull() && discreteDividendsTimeUntil.isNotNull();
#ifdef QL_HIGH_RESOLUTION_DATE
QuantLib::Date exDate(today.dateTime() + length);
#else
QuantLib::Date exDate = today + length;
#endif
boost::shared_ptr<QuantLib::StrikedTypePayoff> payoff(new QuantLib::PlainVanillaPayoff(optionType, strike));
boost::shared_ptr<QuantLib::Exercise> exercise(new QuantLib::AmericanExercise(today, exDate));
boost::shared_ptr<QuantLib::BlackScholesMertonProcess>
stochProcess(new QuantLib::BlackScholesMertonProcess(QuantLib::Handle<QuantLib::Quote>(spot),
QuantLib::Handle<QuantLib::YieldTermStructure>(qTS),
QuantLib::Handle<QuantLib::YieldTermStructure>(rTS),
QuantLib::Handle<QuantLib::BlackVolTermStructure>(volTS)));
if (withDividends) {
Rcpp::NumericVector divvalues(discreteDividends), divtimes(discreteDividendsTimeUntil);
int n = divvalues.size();
std::vector<QuantLib::Date> discDivDates(n);
std::vector<double> discDividends(n);
for (int i = 0; i < n; i++) {
#ifdef QL_HIGH_RESOLUTION_DATE
boost::posix_time::time_duration discreteDividendLength = boost::posix_time::minutes(boost::uint64_t(divtimes[i] * 360 * 24 * 60));
discDivDates[i] = QuantLib::Date(today.dateTime() + discreteDividendLength);
#else
discDivDates[i] = today + int(divtimes[i] * 360 + 0.5);
#endif
discDividends[i] = divvalues[i];
}
QuantLib::DividendVanillaOption option(payoff, exercise, discDivDates, discDividends);
if (engine=="BaroneAdesiWhaley") {
Rcpp::warning("Discrete dividends, engine switched to CrankNicolson");
engine = "CrankNicolson";
}
if (engine=="CrankNicolson") { // FDDividendAmericanEngine only works with CrankNicolson
// suggestion by Bryan Lewis: use CrankNicolson for greeks
boost::shared_ptr<QuantLib::PricingEngine>
fdcnengine(new QuantLib::FDDividendAmericanEngine<QuantLib::CrankNicolson>(stochProcess, timeSteps, gridPoints));
option.setPricingEngine(fdcnengine);
return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = option.delta(),
Rcpp::Named("gamma") = option.gamma(),
Rcpp::Named("vega") = R_NaReal,
Rcpp::Named("theta") = R_NaReal,
Rcpp::Named("rho") = R_NaReal,
Rcpp::Named("divRho") = R_NaReal);
} else {
throw std::range_error("Unknown engine " + engine);
}
} else {
QuantLib::VanillaOption option(payoff, exercise);
if (engine=="BaroneAdesiWhaley") {
// new from 0.3.7 BaroneAdesiWhaley
boost::shared_ptr<QuantLib::PricingEngine> engine(new QuantLib::BaroneAdesiWhaleyApproximationEngine(stochProcess));
option.setPricingEngine(engine);
return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = R_NaReal,
Rcpp::Named("gamma") = R_NaReal,
Rcpp::Named("vega") = R_NaReal,
Rcpp::Named("theta") = R_NaReal,
Rcpp::Named("rho") = R_NaReal,
Rcpp::Named("divRho") = R_NaReal);
} else if (engine=="CrankNicolson") {
// suggestion by Bryan Lewis: use CrankNicolson for greeks
boost::shared_ptr<QuantLib::PricingEngine>
fdcnengine(new QuantLib::FDAmericanEngine<QuantLib::CrankNicolson>(stochProcess, timeSteps, gridPoints));
option.setPricingEngine(fdcnengine);
return Rcpp::List::create(Rcpp::Named("value") = option.NPV(),
Rcpp::Named("delta") = option.delta(),
Rcpp::Named("gamma") = option.gamma(),
Rcpp::Named("vega") = R_NaReal,
Rcpp::Named("theta") = R_NaReal,
Rcpp::Named("rho") = R_NaReal,
Rcpp::Named("divRho") = R_NaReal);
} else {
throw std::range_error("Unknown engine " + engine);
}
}
}
void BinomialBarrierEngine<T,D>::calculate() const {
DayCounter rfdc = process_->riskFreeRate()->dayCounter();
DayCounter divdc = process_->dividendYield()->dayCounter();
DayCounter voldc = process_->blackVolatility()->dayCounter();
Calendar volcal = process_->blackVolatility()->calendar();
Real s0 = process_->stateVariable()->value();
QL_REQUIRE(s0 > 0.0, "negative or null underlying given");
Volatility v = process_->blackVolatility()->blackVol(
arguments_.exercise->lastDate(), s0);
Date maturityDate = arguments_.exercise->lastDate();
Rate r = process_->riskFreeRate()->zeroRate(maturityDate,
rfdc, Continuous, NoFrequency);
Rate q = process_->dividendYield()->zeroRate(maturityDate,
divdc, Continuous, NoFrequency);
Date referenceDate = process_->riskFreeRate()->referenceDate();
// binomial trees with constant coefficient
Handle<YieldTermStructure> flatRiskFree(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(referenceDate, r, rfdc)));
Handle<YieldTermStructure> flatDividends(
boost::shared_ptr<YieldTermStructure>(
new FlatForward(referenceDate, q, divdc)));
Handle<BlackVolTermStructure> flatVol(
boost::shared_ptr<BlackVolTermStructure>(
new BlackConstantVol(referenceDate, volcal, v, voldc)));
boost::shared_ptr<StrikedTypePayoff> payoff =
boost::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);
QL_REQUIRE(payoff, "non-striked payoff given");
Time maturity = rfdc.yearFraction(referenceDate, maturityDate);
boost::shared_ptr<StochasticProcess1D> bs(
new GeneralizedBlackScholesProcess(
process_->stateVariable(),
flatDividends, flatRiskFree, flatVol));
// correct timesteps to ensure a (local) minimum, using Boyle and Lau
// approach. See Journal of Derivatives, 1/1994,
// "Bumping up against the barrier with the binomial method"
// Note: this approach works only for CoxRossRubinstein lattices, so
// is disabled if T is not a CoxRossRubinstein or derived from it.
Size optimum_steps = timeSteps_;
if (boost::is_base_of<CoxRossRubinstein, T>::value &&
maxTimeSteps_ > timeSteps_ && s0 > 0 && arguments_.barrier > 0) {
Real divisor;
if (s0 > arguments_.barrier)
divisor = std::pow(std::log(s0 / arguments_.barrier), 2);
else
divisor = std::pow(std::log(arguments_.barrier / s0), 2);
if (!close(divisor,0)) {
for (Size i=1; i < timeSteps_ ; ++i) {
Size optimum = Size(( i*i * v*v * maturity) / divisor);
if (timeSteps_ < optimum) {
optimum_steps = optimum;
break; // found first minimum with iterations>=timesteps
}
}
}
if (optimum_steps > maxTimeSteps_)
optimum_steps = maxTimeSteps_; // too high, limit
}
TimeGrid grid(maturity, optimum_steps);
boost::shared_ptr<T> tree(new T(bs, maturity, optimum_steps,
payoff->strike()));
boost::shared_ptr<BlackScholesLattice<T> > lattice(
new BlackScholesLattice<T>(tree, r, maturity, optimum_steps));
D option(arguments_, *process_, grid);
option.initialize(lattice, maturity);
// Partial derivatives calculated from various points in the
// binomial tree
// (see J.C.Hull, "Options, Futures and other derivatives", 6th edition, pp 397/398)
// Rollback to third-last step, and get underlying prices (s2) &
// option values (p2) at this point
option.rollback(grid[2]);
Array va2(option.values());
QL_ENSURE(va2.size() == 3, "Expect 3 nodes in grid at second step");
Real p2u = va2[2]; // up
Real p2m = va2[1]; // mid
Real p2d = va2[0]; // down (low)
Real s2u = lattice->underlying(2, 2); // up price
Real s2m = lattice->underlying(2, 1); // middle price
Real s2d = lattice->underlying(2, 0); // down (low) price
// calculate gamma by taking the first derivate of the two deltas
Real delta2u = (p2u - p2m)/(s2u-s2m);
Real delta2d = (p2m-p2d)/(s2m-s2d);
Real gamma = (delta2u - delta2d) / ((s2u-s2d)/2);
// Rollback to second-last step, and get option values (p1) at
// this point
option.rollback(grid[1]);
Array va(option.values());
QL_ENSURE(va.size() == 2, "Expect 2 nodes in grid at first step");
Real p1u = va[1];
Real p1d = va[0];
Real s1u = lattice->underlying(1, 1); // up (high) price
Real s1d = lattice->underlying(1, 0); // down (low) price
Real delta = (p1u - p1d) / (s1u - s1d);
// Finally, rollback to t=0
option.rollback(0.0);
Real p0 = option.presentValue();
// Store results
results_.value = p0;
results_.delta = delta;
results_.gamma = gamma;
// theta can be approximated by calculating the numerical derivative
// between mid value at third-last step and at t0. The underlying price
// is the same, only time varies.
results_.theta = (p2m - p0) / grid[2];
}
