void Fd2dBlackScholesVanillaEngine::calculate() const {
// 1. Payoff
const ext::shared_ptr<BasketPayoff> payoff =
ext::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);
// 2. Mesher
const Time maturity = p1_->time(arguments_.exercise->lastDate());
const ext::shared_ptr<Fdm1dMesher> em1(
new FdmBlackScholesMesher(
xGrid_, p1_, maturity, p1_->x0(),
Null<Real>(), Null<Real>(), 0.0001, 1.5,
std::pair<Real, Real>(p1_->x0(), 0.1)));
const ext::shared_ptr<Fdm1dMesher> em2(
new FdmBlackScholesMesher(
yGrid_, p2_, maturity, p2_->x0(),
Null<Real>(), Null<Real>(), 0.0001, 1.5,
std::pair<Real, Real>(p2_->x0(), 0.1)));
const ext::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(em1, em2));
// 3. Calculator
const ext::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmLogBasketInnerValue(payoff, mesher));
// 4. Step conditions
const ext::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator,
p1_->riskFreeRate()->referenceDate(),
p1_->riskFreeRate()->dayCounter());
// 5. Boundary conditions
const FdmBoundaryConditionSet boundaries;
// 6. Solver
const FdmSolverDesc solverDesc = { mesher, boundaries,
conditions, calculator,
maturity, tGrid_, dampingSteps_ };
ext::shared_ptr<Fdm2dBlackScholesSolver> solver(
new Fdm2dBlackScholesSolver(
Handle<GeneralizedBlackScholesProcess>(p1_),
Handle<GeneralizedBlackScholesProcess>(p2_),
correlation_, solverDesc, schemeDesc_,
localVol_, illegalLocalVolOverwrite_));
const Real x = p1_->x0();
const Real y = p2_->x0();
results_.value = solver->valueAt(x, y);
results_.delta = solver->deltaXat(x, y) + solver->deltaYat(x, y);
results_.gamma = solver->gammaXat(x, y) + solver->gammaYat(x, y)
+ 2*solver->gammaXYat(x, y);
results_.theta = solver->thetaAt(x, y);
}
void FdExtOUJumpVanillaEngine::calculate() const {
// 1. Layout
std::vector<Size> dim;
dim.push_back(xGrid_);
dim.push_back(yGrid_);
const boost::shared_ptr<FdmLinearOpLayout> layout(
new FdmLinearOpLayout(dim));
// 2. Mesher
const Time maturity
= rTS_->dayCounter().yearFraction(rTS_->referenceDate(),
arguments_.exercise->lastDate());
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()));
std::vector<boost::shared_ptr<Fdm1dMesher> > meshers;
meshers.push_back(xMesher);
meshers.push_back(yMesher);
const boost::shared_ptr<FdmMesher> mesher (
new FdmMesherComposite(layout, meshers));
// 3. Calculator
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher));
// 4. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator,
rTS_->referenceDate(), rTS_->dayCounter());
// 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<FdmExtOUJumpSolver> solver(
new FdmExtOUJumpSolver(Handle<ExtOUWithJumpsProcess>(process_),
rTS_, solverDesc, schemeDesc_));
const Real x = process_->initialValues()[0];
const Real y = process_->initialValues()[1];
results_.value = solver->valueAt(x, y);
}
void FdHullWhiteSwaptionEngine::calculate() const {
const Handle<YieldTermStructure> ts = model_->termStructure();
// 1. Layout
const boost::shared_ptr<FdmLinearOpLayout> layout(
new FdmLinearOpLayout(std::vector<Size>(1u, xGrid_)));
// 2. Mesher
const DayCounter dc = ts->dayCounter();
const Date referenceDate = ts->referenceDate();
const Time maturity = dc.yearFraction(referenceDate,
arguments_.exercise->lastDate());
const boost::shared_ptr<OrnsteinUhlenbeckProcess> process(
new OrnsteinUhlenbeckProcess(model_->a(), model_->sigma()));
const boost::shared_ptr<Fdm1dMesher> shortRateMesher(
new FdmSimpleProcess1dMesher(xGrid_, process, maturity,1,invEps_));
const boost::shared_ptr<FdmMesher> mesher(
new FdmMesherComposite(layout,
std::vector<boost::shared_ptr<Fdm1dMesher> >(
1, shortRateMesher)));
// 3. Inner Value Calculator
const std::vector<Date>& exerciseDates = arguments_.exercise->dates();
std::map<Time, Date> t2d;
for (Size i=0; i < exerciseDates.size(); ++i) {
const Time t = dc.yearFraction(referenceDate, exerciseDates[i]);
QL_REQUIRE(t >= 0, "exercise dates must not contain past date");
t2d[t] = exerciseDates[i];
}
const Handle<YieldTermStructure> disTs = model_->termStructure();
const Handle<YieldTermStructure> fwdTs
= arguments_.swap->iborIndex()->forwardingTermStructure();
QL_REQUIRE(fwdTs->dayCounter() == disTs->dayCounter(),
"day counter of forward and discount curve must match");
QL_REQUIRE(fwdTs->referenceDate() == disTs->referenceDate(),
"reference date of forward and discount curve must match");
const boost::shared_ptr<HullWhite> fwdModel(
new HullWhite(fwdTs, model_->a(), model_->sigma()));
const boost::shared_ptr<FdmInnerValueCalculator> calculator(
new FdmAffineModelSwapInnerValue<HullWhite>(
model_.currentLink(), fwdModel,
arguments_.swap, t2d, mesher, 0));
// 4. Step conditions
const boost::shared_ptr<FdmStepConditionComposite> conditions =
FdmStepConditionComposite::vanillaComposite(
DividendSchedule(), arguments_.exercise,
mesher, calculator, referenceDate, dc);
// 5. Boundary conditions
const std::vector<boost::shared_ptr<FdmDirichletBoundary> > boundaries;
// 6. Solver
FdmSolverDesc solverDesc = { mesher, boundaries, conditions,
calculator, maturity,
tGrid_, dampingSteps_ };
const boost::scoped_ptr<FdmHullWhiteSolver> solver(
new FdmHullWhiteSolver(model_, solverDesc, schemeDesc_));
results_.value = solver->valueAt(0.0);
}
