void FdSimpleKlugeExtOUVPPEngine::calculate() const {
boost::shared_ptr<SwingExercise> swingExercise(
boost::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
QL_REQUIRE(swingExercise, "Swing exercise supported only");
const Size nStates = (arguments_.nStarts == Null<Size>())
? 2*arguments_.tMinUp + arguments_.tMinDown
: (arguments_.nStarts+1)*(2*arguments_.tMinUp+arguments_.tMinDown);
// 1. Layout
std::vector<Size> dim;
dim.push_back(xGrid_);
dim.push_back(yGrid_);
dim.push_back(gGrid_);
dim.push_back(nStates);
const boost::shared_ptr<FdmLinearOpLayout> layout(
new FdmLinearOpLayout(dim));
const std::vector<Time> exerciseTimes
= swingExercise->exerciseTimes(rTS_->dayCounter(),
rTS_->referenceDate());
// 2. mesher set-up
const Time maturity = exerciseTimes.back();
const boost::shared_ptr<ExtOUWithJumpsProcess> klugeProcess
= process_->getKlugeProcess();
const boost::shared_ptr<StochasticProcess1D> klugeOUProcess
= klugeProcess->getExtendedOrnsteinUhlenbeckProcess();
const boost::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_, klugeOUProcess, maturity));
const boost::shared_ptr<Fdm1dMesher> yMesher(
new ExponentialJump1dMesher(yGrid_,
klugeProcess->beta(),
klugeProcess->jumpIntensity(),
klugeProcess->eta(), 1e-3));
const boost::shared_ptr<Fdm1dMesher> gMesher(
new FdmSimpleProcess1dMesher(gGrid_,
process_->getExtOUProcess(),maturity));
const boost::shared_ptr<Fdm1dMesher> exerciseMesher(
new Uniform1dMesher(0.0, nStates-1.0, nStates));
std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
meshers.push_back(xMesher);
meshers.push_back(yMesher);
meshers.push_back(gMesher);
meshers.push_back(exerciseMesher);
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(layout, meshers));
// 3. Calculator
const boost::shared_ptr<FdmInnerValueCalculator> zeroInnerValue(
new FdmZeroInnerValue());
const boost::shared_ptr<Payoff> zeroStrikeCall(
new PlainVanillaPayoff(Option::Call, 0.0));
const boost::shared_ptr<FdmInnerValueCalculator> gasPrice(
new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,
mesher, gasShape_, 2));
const boost::shared_ptr<FdmInnerValueCalculator> powerPrice(
new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));
const boost::shared_ptr<FdmInnerValueCalculator> sparkSpread(
new FdmSparkSpreadInnerValue(
boost::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff),
gasPrice, powerPrice));
// 4. Step conditions
std::list<std::vector<Time> > stoppingTimes;
std::list<boost::shared_ptr<StepCondition<Array> > > stepConditions;
// 4.1 Bermudan step conditions
stoppingTimes.push_back(exerciseTimes);
stepConditions.push_back(boost::shared_ptr<StepCondition<Array> >(
new FdmVPPStepCondition(arguments_.heatRate,
arguments_.pMin, arguments_.pMax,
arguments_.tMinUp, arguments_.tMinDown,
arguments_.nStarts,
arguments_.startUpFuel,
arguments_.startUpFixCost,
carbonPrice_, 3,
mesher, gasPrice, sparkSpread)));
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,
zeroInnerValue, maturity, tGrid_, 0 };
const boost::shared_ptr<FdmKlugeExtOUSolver<4> > solver(
new FdmKlugeExtOUSolver<4>(Handle<KlugeExtOUProcess>(process_),
rTS_, solverDesc, schemeDesc_));
std::vector<Real> x(4);
x[0] = process_->initialValues()[0];
x[1] = process_->initialValues()[1];
x[2] = process_->initialValues()[2];
const Real tol = 1e-8;
Array results(2*arguments_.tMinUp + arguments_.tMinDown);
for (Size i=0; i < results.size(); ++i) {
x[3] = std::max(tol, std::min(
(Real) (nStates-results.size()+i), nStates-1-tol));
results[i] = solver->valueAt(x);
}
results_.value = *std::max_element(results.begin(), results.end());
}
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 FdSimpleKlugeExtOUVPPEngine::calculate() const {
ext::shared_ptr<SwingExercise> swingExercise(
ext::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));
QL_REQUIRE(swingExercise, "Swing exercise supported only");
const FdmVPPStepConditionFactory stepConditionFactory(arguments_);
// 1. Exercise definition
const std::vector<Time> exerciseTimes
= swingExercise->exerciseTimes(rTS_->dayCounter(),
rTS_->referenceDate());
// 2. mesher set-up
const Time maturity = exerciseTimes.back();
const ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess
= process_->getKlugeProcess();
const ext::shared_ptr<StochasticProcess1D> klugeOUProcess
= klugeProcess->getExtendedOrnsteinUhlenbeckProcess();
const ext::shared_ptr<Fdm1dMesher> xMesher(
new FdmSimpleProcess1dMesher(xGrid_, klugeOUProcess, maturity));
const ext::shared_ptr<Fdm1dMesher> yMesher(
new ExponentialJump1dMesher(yGrid_,
klugeProcess->beta(),
klugeProcess->jumpIntensity(),
klugeProcess->eta(), 1e-3));
const ext::shared_ptr<Fdm1dMesher> gMesher(
new FdmSimpleProcess1dMesher(gGrid_,
process_->getExtOUProcess(),maturity));
const ext::shared_ptr<Fdm1dMesher> exerciseMesher(
stepConditionFactory.stateMesher());
const ext::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(xMesher, yMesher, gMesher, exerciseMesher));
// 3. Calculator
const ext::shared_ptr<FdmInnerValueCalculator> zeroInnerValue(
new FdmZeroInnerValue());
const ext::shared_ptr<Payoff> zeroStrikeCall(
new PlainVanillaPayoff(Option::Call, 0.0));
const ext::shared_ptr<FdmInnerValueCalculator> fuelPrice(
new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,
mesher, fuelShape_, 2));
const ext::shared_ptr<FdmInnerValueCalculator> powerPrice(
new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));
const ext::shared_ptr<FdmInnerValueCalculator> sparkSpread(
new FdmSparkSpreadInnerValue(
ext::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff),
fuelPrice, powerPrice));
// 4. Step conditions
std::list<std::vector<Time> > stoppingTimes;
std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;
// 4.1 Bermudan step conditions
stoppingTimes.push_back(exerciseTimes);
const FdmVPPStepConditionMesher mesh = { 3u, mesher };
const ext::shared_ptr<FdmVPPStepCondition> stepCondition(
stepConditionFactory.build(mesh, fuelCostAddon_,
fuelPrice, sparkSpread));
stepConditions.push_back(stepCondition);
const ext::shared_ptr<FdmStepConditionComposite> conditions(
new FdmStepConditionComposite(stoppingTimes, stepConditions));
// 5. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 6. set-up solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
zeroInnerValue, maturity, tGrid_, 0 };
const ext::shared_ptr<FdmKlugeExtOUSolver<4> > solver(
new FdmKlugeExtOUSolver<4>(Handle<KlugeExtOUProcess>(process_),
rTS_, solverDesc, schemeDesc_));
std::vector<Real> x(4);
x[0] = process_->initialValues()[0];
x[1] = process_->initialValues()[1];
x[2] = process_->initialValues()[2];
const Real tol = 1e-8;
const Real maxExerciseValue = exerciseMesher->locations().back();
const Real minExerciseValue = exerciseMesher->locations().front();
Array results(exerciseMesher->size());
for (Size i=0; i < results.size(); ++i) {
x[3] = std::max(minExerciseValue + tol,
std::min(exerciseMesher->location(i),
maxExerciseValue - tol));
results[i] = solver->valueAt(x);
}
results_.value = stepCondition->maxValue(results);
}
